Trend-Following Backtester · Guide · backtest 한국어
equity · US
M/I Homes, Inc. backtest
10 trend-following strategies were compared on the full daily history of M/I Homes, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.7%, MDD -58.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.6%, drawdown -91.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.8%, MDD -62.7%, Sharpe 0.51, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 10.7%, MDD -58.4%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=40 |
11.8% | -62.7% | 0.51 | 0.19 | 39.1x | 137 | 55% |
| Supertrend period=21, mult=5 |
10.9% | -66.2% | 0.49 | 0.17 | 30.0x | 109 | 53% |
| SMA 크로스오버 fast=17, slow=65 |
10.7% | -58.4% | 0.48 | 0.18 | 27.5x | 147 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=2.2 |
8.2% | -53.7% | 0.44 | 0.15 | 13.2x | 159 | 37% |
| Donchian 채널 돌파 entryN=28, exitN=59 |
9.5% | -69.1% | 0.43 | 0.14 | 19.7x | 91 | 68% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
7.9% | -54.7% | 0.41 | 0.14 | 12.2x | 193 | 42% |
| MACD fast=17, slow=52, signal=18 |
5.3% | -78.8% | 0.32 | 0.07 | 5.5x | 342 | 51% |
| ROC 모멘텀 n=145, threshold=0.08 |
5.2% | -80.9% | 0.32 | 0.06 | 5.3x | 239 | 48% |
| ADX / DI 방향성 period=14, threshold=22 |
3.4% | -73.9% | 0.26 | 0.05 | 3.0x | 315 | 30% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.8% | -91.5% | 0.22 | 0.02 | 1.8x | 453 | 51% |
| Buy and hold | 9.6% | -91.6% | 0.43 | 0.10 | 20.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 40-day EMA
- Sell — Sell when the 25-day EMA falls below the 40-day EMA