Trend-Following Backtester · Guide · backtest 한국어
equity · US
Polaris Inc. backtest
10 trend-following strategies were compared on the full daily history of Polaris Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.2%, MDD -57.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -80.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -72.6%, Sharpe 0.52, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 7.6%p (CAGR 9.2%, MDD -57.3%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=70, slow=129 |
10.5% | -72.6% | 0.52 | 0.14 | 47.9x | 79 | 60% |
| EMA 크로스오버 fast=77, slow=151 |
9.2% | -57.3% | 0.48 | 0.16 | 30.7x | 43 | 62% |
| Donchian 채널 돌파 entryN=78, exitN=98 |
9.5% | -70.9% | 0.48 | 0.13 | 34.1x | 41 | 64% |
| ROC 모멘텀 n=144, threshold=0.01 |
5.2% | -75.0% | 0.33 | 0.07 | 7.2x | 273 | 59% |
| Supertrend period=25, mult=4.7 |
4.7% | -71.5% | 0.31 | 0.07 | 6.0x | 149 | 55% |
| MACD fast=25, slow=52, signal=47 |
4.6% | -59.9% | 0.30 | 0.08 | 5.8x | 265 | 51% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=14, mult=3.7 |
3.8% | -37.7% | 0.30 | 0.10 | 4.3x | 100 | 32% |
| ADX / DI 방향성 period=25, threshold=19 |
2.4% | -43.2% | 0.23 | 0.06 | 2.6x | 186 | 25% |
| 볼린저 밴드 돌파 n=48, k=0.9 |
0.8% | -69.2% | 0.15 | 0.01 | 1.4x | 342 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.3% | -93.4% | -0.09 | -0.06 | 0.1x | 638 | 54% |
| Buy and hold | 9.9% | -80.2% | 0.44 | 0.12 | 39.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 70-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 70-day average falls below the 129-day average