Trend-Following Backtester · Guide · backtest 한국어
equity · US
Morgan Stanley backtest
10 trend-following strategies were compared on the full daily history of Morgan Stanley. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -53.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -91.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -54.0%, Sharpe 0.44, 61% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.4%, MDD -53.2%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 37.6%p (CAGR 8.4%, MDD -53.2%, exposure 60%).
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=52, slow=115 |
8.4% | -54.0% | 0.44 | 0.15 | 14.6x | 55 | 61% |
| SMA 크로스오버 fast=45, slow=126 |
8.4% | -53.2% | 0.44 | 0.16 | 15.0x | 67 | 60% |
| Donchian 채널 돌파 entryN=80, exitN=73 |
6.5% | -55.9% | 0.38 | 0.12 | 8.3x | 55 | 57% |
| ROC 모멘텀 n=119, threshold=0.01 |
5.8% | -65.7% | 0.35 | 0.09 | 6.5x | 227 | 60% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
0.4% | -5.4% | 0.25 | 0.08 | 1.1x | 4 | 1% |
| Supertrend period=25, mult=3.3 |
3.0% | -72.1% | 0.24 | 0.04 | 2.7x | 216 | 60% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=28, mult=2.9 |
2.6% | -56.0% | 0.23 | 0.05 | 2.3x | 124 | 40% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.1% | -82.7% | 0.18 | 0.01 | 1.5x | 310 | 57% |
| ADX / DI 방향성 period=23, threshold=7 |
1.0% | -81.0% | 0.17 | 0.01 | 1.4x | 534 | 57% |
| MACD fast=19, slow=52, signal=11 |
-5.1% | -96.4% | -0.05 | -0.05 | 0.2x | 482 | 51% |
| Buy and hold | 10.4% | -91.6% | 0.44 | 0.11 | 27.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 115-day EMA
- Sell — Sell when the 52-day EMA falls below the 115-day EMA