Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Mainstreet Equity Corp. backtest
10 trend-following strategies were compared on the full daily history of Mainstreet Equity Corp.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.1%, MDD -54.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.6%, drawdown -79.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.1%, MDD -54.5%, Sharpe 0.72, 74% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 16.1%, MDD -54.5%, exposure 74%).
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=174, slow=351 |
16.1% | -54.5% | 0.72 | 0.29 | 50.4x | 10 | 74% |
| SMA 크로스오버 fast=56, slow=229 |
14.6% | -54.5% | 0.72 | 0.27 | 36.0x | 24 | 61% |
| Donchian 채널 돌파 entryN=38, exitN=66 |
10.9% | -78.5% | 0.52 | 0.14 | 15.3x | 53 | 75% |
| ROC 모멘텀 n=87, threshold=-0.04 |
6.6% | -72.6% | 0.38 | 0.09 | 5.4x | 245 | 72% |
| Parabolic SAR step=0.035, maxStep=0.28 |
6.2% | -76.7% | 0.37 | 0.08 | 4.9x | 599 | 54% |
| ADX / DI 방향성 period=35, threshold=24 |
3.1% | -44.3% | 0.31 | 0.07 | 2.2x | 42 | 16% |
| 볼린저 밴드 돌파 n=45, k=1.6 |
3.6% | -80.6% | 0.28 | 0.04 | 2.5x | 156 | 43% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=3 |
3.4% | -85.8% | 0.27 | 0.04 | 2.4x | 152 | 39% |
| Supertrend period=6, mult=4.5 |
2.2% | -82.5% | 0.21 | 0.03 | 1.8x | 192 | 56% |
| MACD fast=10, slow=31, signal=6 |
1.0% | -67.7% | 0.16 | 0.01 | 1.3x | 615 | 49% |
| Buy and hold | 15.6% | -79.3% | 0.59 | 0.20 | 45.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 174-day EMA crosses above the 351-day EMA
- Sell — Sell when the 174-day EMA falls below the 351-day EMA