Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Metro Inc. backtest
10 trend-following strategies were compared on the full daily history of Metro Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.4%, drawdown -47.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -40.2%, Sharpe 0.64, 68% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.3%, MDD -53.4%, exposure 73%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=20, slow=191 |
10.1% | -40.2% | 0.64 | 0.25 | 20.6x | 52 | 68% |
| Donchian 채널 돌파 entryN=63, exitN=89 |
10.3% | -53.4% | 0.64 | 0.19 | 22.2x | 46 | 73% |
| EMA 크로스오버 fast=49, slow=205 |
9.9% | -35.4% | 0.61 | 0.28 | 19.8x | 36 | 76% |
| Supertrend period=12, mult=5 |
9.5% | -34.3% | 0.60 | 0.28 | 17.4x | 87 | 65% |
| 볼린저 밴드 돌파 n=50, k=2.9 |
5.6% | -34.3% | 0.58 | 0.16 | 5.5x | 68 | 25% |
| ROC 모멘텀 n=113, threshold=-0.03 |
8.8% | -40.5% | 0.55 | 0.22 | 14.2x | 200 | 77% |
| ADX / DI 방향성 period=28, threshold=37 |
1.9% | -10.2% | 0.48 | 0.18 | 1.8x | 16 | 4% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=15, mult=3.9 |
3.4% | -32.5% | 0.42 | 0.10 | 2.8x | 58 | 18% |
| Parabolic SAR step=0.035, maxStep=0.06 |
1.2% | -66.4% | 0.15 | 0.02 | 1.4x | 525 | 57% |
| MACD fast=19, slow=39, signal=14 |
0.6% | -63.9% | 0.12 | 0.01 | 1.2x | 399 | 51% |
| Buy and hold | 15.4% | -47.5% | 0.77 | 0.32 | 91.7x | 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 20-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 20-day average falls below the 191-day average