Trend-Following Backtester · Guide · backtest 한국어
equity · US
Everpure, Inc. backtest
10 trend-following strategies were compared on the full daily history of Everpure, Inc.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 16.0%, MDD -52.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.8%, drawdown -69.4%).
Sharpe leader (same as main): MACD — CAGR 16.0%, MDD -52.3%, Sharpe 0.59, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 17.1%p (CAGR 16.0%, MDD -52.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=18, signal=14 |
16.0% | -52.3% | 0.59 | 0.31 | 5.0x | 196 | 50% |
| Donchian 채널 돌파 entryN=20, exitN=44 |
15.4% | -51.4% | 0.56 | 0.30 | 4.8x | 41 | 68% |
| Parabolic SAR step=0.07, maxStep=0.18 |
14.1% | -55.2% | 0.54 | 0.26 | 4.2x | 390 | 52% |
| SMA 크로스오버 fast=19, slow=32 |
8.2% | -45.8% | 0.40 | 0.18 | 2.4x | 95 | 56% |
| ROC 모멘텀 n=19, threshold=-0.04 |
4.6% | -60.5% | 0.31 | 0.08 | 1.6x | 217 | 68% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
3.7% | -36.6% | 0.27 | 0.10 | 1.5x | 23 | 23% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=10, mult=1.3 |
3.5% | -42.9% | 0.27 | 0.08 | 1.4x | 106 | 43% |
| Supertrend period=27, mult=3.3 |
1.9% | -56.6% | 0.23 | 0.03 | 1.2x | 78 | 52% |
| EMA 크로스오버 fast=11, slow=272 |
0.6% | -73.5% | 0.22 | 0.01 | 1.1x | 29 | 63% |
| ADX / DI 방향성 period=23, threshold=8 |
0.4% | -53.7% | 0.18 | 0.01 | 1.0x | 177 | 51% |
| Buy and hold | 16.8% | -69.4% | 0.56 | 0.24 | 5.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/18) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line