Trend-Following Backtester · Guide · backtest 한국어
equity · US
USA TODAY Co., Inc. backtest
10 trend-following strategies were compared on the full daily history of USA TODAY Co., Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -16.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.5%, drawdown -97.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.8%, MDD -52.4%, Sharpe 0.62, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.3%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 3.4%, MDD -16.8%, exposure 3%).
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=28, slow=131 |
17.8% | -52.4% | 0.62 | 0.34 | 7.7x | 23 | 45% |
| ROC 모멘텀 n=60, threshold=0.12 |
16.0% | -57.2% | 0.60 | 0.28 | 6.4x | 129 | 32% |
| EMA 크로스오버 fast=41, slow=71 |
13.9% | -64.7% | 0.54 | 0.21 | 5.1x | 27 | 46% |
| Donchian 채널 돌파 entryN=74, exitN=78 |
13.8% | -62.6% | 0.53 | 0.22 | 5.0x | 15 | 47% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
7.8% | -49.2% | 0.45 | 0.16 | 2.5x | 11 | 13% |
| Supertrend period=14, mult=2.5 |
12.4% | -63.7% | 0.45 | 0.19 | 4.3x | 101 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=3.6 |
7.2% | -42.4% | 0.42 | 0.17 | 2.4x | 23 | 19% |
| ADX / DI 방향성 period=25, threshold=35 |
3.4% | -16.8% | 0.36 | 0.20 | 1.5x | 6 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.3% | -68.9% | 0.33 | 0.08 | 1.9x | 101 | 54% |
| MACD fast=12, slow=29, signal=14 |
4.7% | -74.7% | 0.32 | 0.06 | 1.8x | 188 | 51% |
| Buy and hold | -1.5% | -97.5% | 0.31 | -0.02 | 0.8x | 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 28-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 28-day average falls below the 131-day average