Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Exchange Income Corporation backtest
10 trend-following strategies were compared on the full daily history of Exchange Income Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.7%, MDD -39.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.7%, MDD -39.8%, Sharpe 0.56, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 28.8%p (CAGR 10.7%, MDD -39.8%, exposure 63%).
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=55, slow=90 |
10.7% | -39.8% | 0.56 | 0.27 | 9.6x | 51 | 63% |
| ADX / DI 방향성 period=67, threshold=10 |
6.6% | -33.4% | 0.47 | 0.20 | 4.1x | 77 | 34% |
| Donchian 채널 돌파 entryN=117, exitN=59 |
7.3% | -36.0% | 0.45 | 0.20 | 4.8x | 31 | 55% |
| EMA 크로스오버 fast=50, slow=159 |
8.0% | -58.9% | 0.44 | 0.14 | 5.5x | 29 | 67% |
| ROC 모멘텀 n=201, threshold=-0.04 |
6.6% | -55.2% | 0.39 | 0.12 | 4.1x | 115 | 70% |
| Supertrend period=27, mult=4.6 |
-0.4% | -76.0% | 0.10 | -0.01 | 0.9x | 109 | 63% |
| 볼린저 밴드 돌파 n=65, k=2.7 |
0.2% | -60.2% | 0.09 | 0.00 | 1.0x | 59 | 29% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.3% | -80.2% | 0.06 | -0.02 | 0.7x | 344 | 55% |
| MACD fast=28, slow=67, signal=16 |
-3.2% | -84.0% | -0.03 | -0.04 | 0.5x | 224 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=3.5 |
-3.1% | -75.9% | -0.12 | -0.04 | 0.5x | 87 | 33% |
| Buy and hold | 13.0% | -68.6% | 0.53 | 0.19 | 15.1x | 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 55-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 55-day average falls below the 90-day average