Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tanger Inc. backtest
10 trend-following strategies were compared on the full daily history of Tanger Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.0%, MDD -53.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -89.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.0%, MDD -53.4%, Sharpe 0.34, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 36.4%p (CAGR 5.0%, MDD -53.4%, exposure 61%).
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=28, slow=141 |
5.0% | -53.4% | 0.34 | 0.09 | 5.1x | 65 | 61% |
| Donchian 채널 돌파 entryN=6, exitN=102 |
4.4% | -77.8% | 0.29 | 0.06 | 4.2x | 93 | 90% |
| SMA 크로스오버 fast=41, slow=201 |
3.6% | -59.7% | 0.28 | 0.06 | 3.3x | 45 | 60% |
| ROC 모멘텀 n=132, threshold=-0.08 |
2.0% | -85.5% | 0.20 | 0.02 | 1.9x | 233 | 78% |
| Supertrend period=9, mult=4.7 |
1.0% | -74.2% | 0.15 | 0.01 | 1.4x | 115 | 56% |
| 볼린저 밴드 돌파 n=34, k=3.3 |
0.7% | -28.7% | 0.12 | 0.02 | 1.3x | 31 | 6% |
| ADX / DI 방향성 period=33, threshold=31 |
0.5% | -27.4% | 0.10 | 0.02 | 1.2x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=16, mult=4 |
0.4% | -46.7% | 0.10 | 0.01 | 1.1x | 79 | 26% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.9% | -83.7% | 0.03 | -0.02 | 0.5x | 281 | 56% |
| MACD fast=17, slow=44, signal=13 |
-3.5% | -86.1% | -0.05 | -0.04 | 0.3x | 435 | 50% |
| Buy and hold | 5.8% | -89.8% | 0.34 | 0.06 | 6.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 141-day EMA
- Sell — Sell when the 28-day EMA falls below the 141-day EMA