Trend-Following Backtester · Guide · backtest 한국어
equity · US
Robert Half Inc. backtest
10 trend-following strategies were compared on the full daily history of Robert Half Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.8%, MDD -52.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.3%, drawdown -82.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.8%, MDD -52.7%, Sharpe 0.62, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 13.8%, MDD -52.7%, 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=33, slow=78 |
13.8% | -52.7% | 0.62 | 0.26 | 394.1x | 103 | 60% |
| Donchian 채널 돌파 entryN=89, exitN=64 |
11.5% | -57.8% | 0.56 | 0.20 | 156.7x | 77 | 54% |
| Supertrend period=19, mult=5 |
11.5% | -58.2% | 0.56 | 0.20 | 157.8x | 161 | 55% |
| SMA 크로스오버 fast=24, slow=117 |
11.7% | -62.4% | 0.56 | 0.19 | 170.6x | 105 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=2.5 |
8.4% | -46.3% | 0.49 | 0.18 | 42.7x | 191 | 41% |
| ROC 모멘텀 n=100, threshold=-0.03 |
9.5% | -67.4% | 0.47 | 0.14 | 68.0x | 345 | 65% |
| ADX / DI 방향성 period=35, threshold=30 |
4.4% | -32.0% | 0.43 | 0.14 | 7.5x | 42 | 11% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
6.4% | -61.3% | 0.40 | 0.10 | 17.9x | 215 | 42% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.2% | -84.9% | 0.33 | 0.06 | 10.6x | 354 | 54% |
| MACD fast=17, slow=53, signal=18 |
2.6% | -87.9% | 0.23 | 0.03 | 3.3x | 471 | 49% |
| Buy and hold | 13.3% | -82.4% | 0.52 | 0.16 | 328.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 78-day EMA
- Sell — Sell when the 33-day EMA falls below the 78-day EMA