Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fidelity National Information Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fidelity National Information Services, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.3%, MDD -32.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.5%, drawdown -78.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -35.4%, Sharpe 0.56, 54% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.8%, MDD -37.4%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 5.3%, MDD -32.3%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=96, exitN=65 |
7.8% | -35.4% | 0.56 | 0.22 | 6.5x | 30 | 54% |
| EMA 크로스오버 fast=51, slow=66 |
7.8% | -53.7% | 0.51 | 0.15 | 6.6x | 44 | 62% |
| SMA 크로스오버 fast=47, slow=129 |
7.8% | -37.4% | 0.51 | 0.21 | 6.6x | 38 | 59% |
| 볼린저 밴드 돌파 n=125, k=1.4 |
5.3% | -32.3% | 0.42 | 0.16 | 3.7x | 58 | 48% |
| ROC 모멘텀 n=91, threshold=0 |
3.1% | -57.8% | 0.26 | 0.05 | 2.1x | 220 | 60% |
| Supertrend period=10, mult=4.2 |
1.1% | -69.0% | 0.15 | 0.02 | 1.3x | 99 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=3.5 |
0.7% | -34.4% | 0.12 | 0.02 | 1.2x | 82 | 31% |
| ADX / DI 방향성 period=36, threshold=31 |
-0.1% | -6.1% | -0.04 | -0.01 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.8% | -83.0% | -0.09 | -0.05 | 0.4x | 219 | 55% |
| MACD fast=15, slow=56, signal=18 |
-4.5% | -75.9% | -0.12 | -0.06 | 0.3x | 295 | 52% |
| Buy and hold | 2.5% | -78.4% | 0.25 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 96 days
- Sell — Sell when price breaks below the lowest low of the last 65 days