Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Topicus.com, Inc. backtest
10 trend-following strategies were compared on the full daily history of Topicus.com, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.7%, MDD -24.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.0%, drawdown -57.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.7%, MDD -24.1%, Sharpe 0.79, 48% exposure.
CAGR reference leader: Supertrend — CAGR 18.5%, MDD -31.5%, exposure 60%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 16.7%, MDD -24.1%, exposure 48%).
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=24, slow=85 |
16.7% | -24.1% | 0.79 | 0.69 | 2.3x | 14 | 48% |
| Supertrend period=21, mult=5 |
18.5% | -31.5% | 0.76 | 0.59 | 2.5x | 11 | 60% |
| SMA 크로스오버 fast=39, slow=82 |
14.6% | -41.6% | 0.67 | 0.35 | 2.1x | 20 | 53% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
6.2% | -16.1% | 0.64 | 0.39 | 1.4x | 7 | 6% |
| Donchian 채널 돌파 entryN=40, exitN=46 |
12.6% | -30.5% | 0.64 | 0.41 | 1.9x | 12 | 49% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=21, mult=2.7 |
5.4% | -17.9% | 0.44 | 0.30 | 1.3x | 18 | 17% |
| ROC 모멘텀 n=73, threshold=0.01 |
7.3% | -45.7% | 0.41 | 0.16 | 1.5x | 55 | 49% |
| ADX / DI 방향성 period=39, threshold=29 |
1.8% | -11.0% | 0.37 | 0.17 | 1.1x | 2 | 2% |
| Parabolic SAR step=0.06, maxStep=0.06 |
5.8% | -39.9% | 0.34 | 0.14 | 1.4x | 91 | 49% |
| MACD fast=18, slow=23, signal=11 |
-0.9% | -51.5% | 0.11 | -0.02 | 1.0x | 81 | 50% |
| Buy and hold | 9.0% | -57.0% | 0.41 | 0.16 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 85-day EMA
- Sell — Sell when the 24-day EMA falls below the 85-day EMA