Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Descartes Systems Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Descartes Systems Group Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.6%, MDD -56.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.7%, drawdown -99.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.5%, MDD -79.4%, Sharpe 0.66, 69% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 8.6%, MDD -56.5%, exposure 13%).
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=95, slow=263 |
17.5% | -79.4% | 0.66 | 0.22 | 94.3x | 10 | 69% |
| SMA 크로스오버 fast=34, slow=83 |
14.6% | -82.9% | 0.57 | 0.18 | 45.9x | 85 | 61% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
8.6% | -56.5% | 0.51 | 0.15 | 10.3x | 26 | 13% |
| Supertrend period=9, mult=4.8 |
11.8% | -72.2% | 0.51 | 0.16 | 23.0x | 85 | 57% |
| ADX / DI 방향성 period=18, threshold=29 |
8.3% | -52.9% | 0.51 | 0.16 | 9.5x | 80 | 13% |
| Donchian 채널 돌파 entryN=32, exitN=57 |
11.8% | -89.3% | 0.48 | 0.13 | 23.1x | 59 | 72% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=23, mult=3.6 |
7.3% | -52.1% | 0.48 | 0.14 | 7.3x | 46 | 9% |
| ROC 모멘텀 n=140, threshold=-0.02 |
7.7% | -83.2% | 0.39 | 0.09 | 8.1x | 208 | 68% |
| MACD fast=20, slow=66, signal=39 |
6.7% | -69.6% | 0.36 | 0.10 | 6.3x | 231 | 52% |
| Parabolic SAR step=0.03, maxStep=0.2 |
0.3% | -94.0% | 0.17 | 0.00 | 1.1x | 725 | 54% |
| Buy and hold | 8.7% | -99.0% | 0.42 | 0.09 | 10.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 95-day EMA crosses above the 263-day EMA
- Sell — Sell when the 95-day EMA falls below the 263-day EMA