Trend-Following Backtester · Guide · backtest 한국어
equity · US
FactSet Research Systems Inc. backtest
10 trend-following strategies were compared on the full daily history of FactSet Research Systems 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 15.1%, drawdown -61.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 9.9%, MDD -62.2%, Sharpe 0.52, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.6%, MDD -63.8%, exposure 91%.
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=0.34 |
9.9% | -62.2% | 0.52 | 0.16 | 17.2x | 257 | 56% |
| Donchian 채널 돌파 entryN=12, exitN=105 |
11.6% | -63.8% | 0.51 | 0.18 | 27.8x | 61 | 91% |
| Supertrend period=16, mult=3.8 |
7.9% | -66.0% | 0.44 | 0.12 | 9.9x | 161 | 56% |
| 볼린저 밴드 돌파 n=44, k=0.8 |
7.5% | -51.1% | 0.43 | 0.15 | 8.8x | 241 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=1.5 |
6.6% | -50.6% | 0.41 | 0.13 | 6.9x | 211 | 46% |
| SMA 크로스오버 fast=30, slow=134 |
7.0% | -47.8% | 0.40 | 0.15 | 7.8x | 73 | 62% |
| ROC 모멘텀 n=33, threshold=-0.04 |
6.5% | -68.2% | 0.37 | 0.09 | 6.6x | 399 | 72% |
| MACD fast=19, slow=44, signal=16 |
5.9% | -59.1% | 0.36 | 0.10 | 5.7x | 345 | 51% |
| EMA 크로스오버 fast=31, slow=183 |
4.6% | -61.3% | 0.30 | 0.07 | 3.9x | 65 | 68% |
| ADX / DI 방향성 period=39, threshold=14 |
2.4% | -47.4% | 0.22 | 0.05 | 2.1x | 153 | 32% |
| Buy and hold | 15.1% | -61.7% | 0.58 | 0.25 | 70.2x | 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