Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Alphabet Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Alphabet Inc. Class A. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.6%, drawdown -57.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.3%, MDD -60.8%, Sharpe 0.58, 79% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=50, slow=133 |
22.3% | -60.8% | 0.58 | 0.37 | 81.3x | 23 | 79% |
| SMA 크로스오버 fast=59, slow=180 |
18.0% | -63.3% | 0.53 | 0.29 | 37.5x | 21 | 77% |
| Donchian 채널 돌파 entryN=11, exitN=50 |
11.2% | -88.2% | 0.46 | 0.13 | 10.2x | 89 | 86% |
| 볼린저 밴드 돌파 n=91, k=1.7 |
6.7% | -69.3% | 0.34 | 0.10 | 4.1x | 70 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=2.2 |
5.6% | -75.1% | 0.31 | 0.07 | 3.3x | 142 | 54% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.3% | -95.1% | 0.21 | -0.02 | 0.6x | 166 | 59% |
| Supertrend period=8, mult=4.9 |
-1.1% | -89.3% | 0.19 | -0.01 | 0.8x | 145 | 57% |
| ROC 모멘텀 n=21, threshold=-0.04 |
-5.8% | -98.4% | 0.17 | -0.06 | 0.3x | 365 | 78% |
| ADX / DI 방향성 period=39, threshold=35 |
-0.1% | -54.8% | 0.10 | -0.00 | 1.0x | 2 | 1% |
| MACD fast=19, slow=44, signal=18 |
-11.0% | -98.2% | -0.09 | -0.11 | 0.1x | 253 | 51% |
| Buy and hold | 24.6% | -57.0% | 0.61 | 0.43 | 123.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 133-day EMA
- Sell — Sell when the 50-day EMA falls below the 133-day EMA