Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Thomson Reuters Corporation backtest
10 trend-following strategies were compared on the full daily history of Thomson Reuters Corporation. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.1%, MDD -24.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.7%, drawdown -63.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.3%, MDD -29.8%, Sharpe 0.68, 75% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.2%, MDD -29.8%, exposure 88%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 8.1%, MDD -24.2%, exposure 73%).
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=48, slow=278 |
10.3% | -29.8% | 0.68 | 0.34 | 5.9x | 8 | 75% |
| ROC 모멘텀 n=104, threshold=-0.12 |
11.2% | -29.8% | 0.66 | 0.37 | 6.8x | 41 | 88% |
| SMA 크로스오버 fast=34, slow=176 |
8.4% | -29.8% | 0.59 | 0.28 | 4.3x | 26 | 68% |
| Donchian 채널 돌파 entryN=56, exitN=81 |
8.1% | -24.2% | 0.56 | 0.34 | 4.1x | 21 | 73% |
| Supertrend period=23, mult=3.3 |
2.9% | -48.3% | 0.27 | 0.06 | 1.7x | 103 | 55% |
| ADX / DI 방향성 period=39, threshold=22 |
0.9% | -16.6% | 0.19 | 0.05 | 1.2x | 26 | 11% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=24, mult=4 |
1.2% | -33.5% | 0.18 | 0.04 | 1.3x | 42 | 28% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.5% | -60.6% | 0.05 | -0.01 | 0.9x | 159 | 53% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
-1.0% | -55.4% | -0.01 | -0.02 | 0.8x | 119 | 44% |
| MACD fast=13, slow=51, signal=16 |
-5.6% | -76.3% | -0.28 | -0.07 | 0.4x | 255 | 50% |
| Buy and hold | 6.7% | -63.0% | 0.39 | 0.11 | 3.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 278-day EMA
- Sell — Sell when the 48-day EMA falls below the 278-day EMA