Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Listed Index Fund US Equity (S&P500) backtest
10 trend-following strategies were compared on the full daily history of Listed Index Fund US Equity (S&P500). 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.5%, MDD -22.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.7%, drawdown -35.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.5%, MDD -22.0%, Sharpe 0.89, 81% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 13.3%p (CAGR 13.5%, MDD -22.0%, exposure 81%).
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=7, slow=255 |
13.5% | -22.0% | 0.89 | 0.61 | 7.5x | 27 | 81% |
| Donchian 채널 돌파 entryN=22, exitN=65 |
12.8% | -29.6% | 0.84 | 0.43 | 6.8x | 33 | 86% |
| SMA 크로스오버 fast=29, slow=166 |
11.5% | -33.2% | 0.80 | 0.35 | 5.6x | 23 | 75% |
| ROC 모멘텀 n=135, threshold=-0.09 |
12.8% | -35.2% | 0.78 | 0.36 | 6.8x | 37 | 91% |
| 볼린저 밴드 돌파 n=48, k=1.9 |
6.5% | -23.7% | 0.65 | 0.28 | 2.7x | 65 | 46% |
| Parabolic SAR step=0.005, maxStep=0.1 |
7.6% | -28.0% | 0.65 | 0.27 | 3.2x | 133 | 64% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=29, mult=3.6 |
5.4% | -24.0% | 0.59 | 0.23 | 2.3x | 58 | 42% |
| Supertrend period=17, mult=3.2 |
6.9% | -41.5% | 0.57 | 0.17 | 2.9x | 155 | 69% |
| ADX / DI 방향성 period=33, threshold=17 |
1.4% | -20.2% | 0.23 | 0.07 | 1.2x | 41 | 19% |
| MACD fast=17, slow=39, signal=16 |
0.2% | -33.4% | 0.08 | 0.01 | 1.0x | 226 | 51% |
| Buy and hold | 17.7% | -35.3% | 0.93 | 0.50 | 13.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 255-day EMA
- Sell — Sell when the 7-day EMA falls below the 255-day EMA