Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Fairfax Financial Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Fairfax Financial Holdings Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.5%, MDD -49.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -88.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.3%, MDD -19.6%, Sharpe 0.71, 10% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.5%, MDD -49.4%, exposure 57%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 68.8%p (CAGR 11.5%, MDD -49.4%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.4 |
8.3% | -19.6% | 0.71 | 0.42 | 12.4x | 42 | 10% |
| EMA 크로스오버 fast=22, slow=40 |
11.5% | -49.4% | 0.60 | 0.23 | 31.0x | 133 | 57% |
| Supertrend period=16, mult=4.3 |
11.4% | -70.3% | 0.59 | 0.16 | 30.1x | 119 | 57% |
| SMA 크로스오버 fast=8, slow=99 |
11.0% | -52.2% | 0.59 | 0.21 | 27.1x | 131 | 57% |
| Donchian 채널 돌파 entryN=74, exitN=52 |
10.1% | -61.2% | 0.56 | 0.16 | 20.7x | 64 | 51% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=23, mult=2.2 |
9.0% | -48.5% | 0.55 | 0.19 | 15.3x | 169 | 33% |
| ADX / DI 방향성 period=25, threshold=14 |
9.4% | -63.7% | 0.53 | 0.15 | 17.2x | 301 | 44% |
| ROC 모멘텀 n=39, threshold=-0.04 |
8.3% | -69.0% | 0.45 | 0.12 | 12.3x | 407 | 72% |
| Parabolic SAR step=0.01, maxStep=0.42 |
6.4% | -74.7% | 0.38 | 0.09 | 7.1x | 405 | 52% |
| MACD fast=18, slow=37, signal=15 |
4.4% | -80.4% | 0.30 | 0.05 | 3.9x | 403 | 50% |
| Buy and hold | 11.8% | -88.4% | 0.51 | 0.13 | 33.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 25-day middle average