Trend-Following Backtester · Guide · backtest 한국어
equity · US
Equifax, Inc. backtest
10 trend-following strategies were compared on the full daily history of Equifax, Inc.. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -59.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.3%, MDD -52.9%, Sharpe 0.49, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.12 |
8.3% | -52.9% | 0.49 | 0.16 | 40.4x | 357 | 56% |
| Supertrend period=6, mult=4.9 |
7.5% | -73.1% | 0.44 | 0.10 | 28.5x | 149 | 61% |
| Donchian 채널 돌파 entryN=36, exitN=77 |
7.0% | -70.9% | 0.40 | 0.10 | 23.0x | 99 | 75% |
| SMA 크로스오버 fast=20, slow=46 |
6.3% | -74.2% | 0.39 | 0.08 | 16.9x | 253 | 60% |
| EMA 크로스오버 fast=9, slow=86 |
5.6% | -75.8% | 0.36 | 0.07 | 12.4x | 209 | 63% |
| ROC 모멘텀 n=141, threshold=-0.12 |
4.8% | -71.0% | 0.31 | 0.07 | 8.8x | 236 | 84% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=2.3 |
3.9% | -67.1% | 0.30 | 0.06 | 5.8x | 216 | 44% |
| MACD fast=20, slow=59, signal=18 |
3.8% | -55.1% | 0.28 | 0.07 | 5.7x | 467 | 51% |
| 볼린저 밴드 돌파 n=43, k=2.7 |
2.7% | -29.0% | 0.27 | 0.09 | 3.5x | 146 | 27% |
| ADX / DI 방향성 period=36, threshold=8 |
3.1% | -79.4% | 0.25 | 0.04 | 4.1x | 478 | 59% |
| Buy and hold | 12.4% | -59.5% | 0.54 | 0.21 | 224.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots