Trend-Following Backtester · Guide · backtest 한국어
equity · US
TriNet Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of TriNet Group, Inc.. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.9%, MDD -32.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.5%, drawdown -74.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.9%, MDD -44.9%, Sharpe 0.72, 55% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 11.9%, MDD -32.4%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=84 |
15.9% | -44.9% | 0.72 | 0.35 | 6.2x | 19 | 55% |
| SMA 크로스오버 fast=10, slow=129 |
15.1% | -39.2% | 0.71 | 0.39 | 5.7x | 21 | 52% |
| ADX / DI 방향성 period=36, threshold=12 |
12.7% | -44.1% | 0.62 | 0.29 | 4.4x | 95 | 50% |
| ROC 모멘텀 n=104, threshold=0.02 |
11.9% | -32.4% | 0.60 | 0.37 | 4.0x | 47 | 50% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=21, mult=1.8 |
11.4% | -37.2% | 0.59 | 0.31 | 3.8x | 45 | 46% |
| Supertrend period=26, mult=5 |
12.7% | -58.0% | 0.58 | 0.22 | 4.4x | 35 | 58% |
| Donchian 채널 돌파 entryN=37, exitN=51 |
11.6% | -49.5% | 0.53 | 0.23 | 3.9x | 33 | 61% |
| 볼린저 밴드 돌파 n=41, k=1.8 |
8.9% | -37.4% | 0.50 | 0.24 | 2.9x | 75 | 40% |
| MACD fast=17, slow=32, signal=18 |
4.8% | -52.9% | 0.31 | 0.09 | 1.8x | 141 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
1.5% | -60.7% | 0.20 | 0.02 | 1.2x | 201 | 52% |
| Buy and hold | 10.5% | -74.7% | 0.45 | 0.14 | 3.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 84-day EMA
- Sell — Sell when the 31-day EMA falls below the 84-day EMA