Trend-Following Backtester · Guide · backtest 한국어
equity · US
FTI Consulting, Inc. backtest
10 trend-following strategies were compared on the full daily history of FTI Consulting, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.8%, MDD -57.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -88.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -57.7%, Sharpe 0.53, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 30.4%p (CAGR 12.8%, MDD -57.7%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=190 |
12.8% | -57.7% | 0.53 | 0.22 | 37.7x | 36 | 63% |
| EMA 크로스오버 fast=32, slow=223 |
10.3% | -70.6% | 0.47 | 0.15 | 19.6x | 42 | 62% |
| Donchian 채널 돌파 entryN=16, exitN=74 |
9.0% | -72.1% | 0.42 | 0.12 | 13.5x | 81 | 81% |
| ROC 모멘텀 n=63, threshold=-0.09 |
8.6% | -66.7% | 0.41 | 0.13 | 12.2x | 227 | 79% |
| ADX / DI 방향성 period=48, threshold=26 |
2.7% | -19.8% | 0.35 | 0.14 | 2.2x | 10 | 4% |
| Supertrend period=8, mult=5 |
5.0% | -81.2% | 0.32 | 0.06 | 4.4x | 100 | 61% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
2.6% | -38.9% | 0.25 | 0.07 | 2.2x | 34 | 13% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=21, mult=2.8 |
1.8% | -81.2% | 0.20 | 0.02 | 1.7x | 108 | 42% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.1% | -92.8% | 0.14 | -0.01 | 0.7x | 225 | 52% |
| MACD fast=31, slow=51, signal=24 |
-3.4% | -82.6% | 0.07 | -0.04 | 0.4x | 241 | 52% |
| Buy and hold | 12.9% | -88.1% | 0.50 | 0.15 | 39.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 45-day average falls below the 190-day average