Trend-Following Backtester · Guide · backtest 한국어
equity · US
Crexendo, Inc. backtest
10 trend-following strategies were compared on the full daily history of Crexendo, Inc.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.5%, MDD -38.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.7%, drawdown -88.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.4%, MDD -59.5%, Sharpe 0.62, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 11.5%, MDD -38.7%, exposure 16%).
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=55, slow=204 |
20.4% | -59.5% | 0.62 | 0.34 | 4.7x | 5 | 56% |
| SMA 크로스오버 fast=51, slow=119 |
19.5% | -64.2% | 0.61 | 0.30 | 4.4x | 15 | 54% |
| Donchian 채널 돌파 entryN=44, exitN=67 |
16.0% | -66.5% | 0.54 | 0.24 | 3.4x | 13 | 61% |
| ADX / DI 방향성 period=24, threshold=33 |
8.1% | -27.6% | 0.51 | 0.29 | 1.9x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=14, mult=2.6 |
11.5% | -38.7% | 0.49 | 0.30 | 2.5x | 30 | 16% |
| Supertrend period=12, mult=4.2 |
12.1% | -77.2% | 0.47 | 0.16 | 2.6x | 34 | 61% |
| ROC 모멘텀 n=147, threshold=-0.04 |
9.6% | -66.9% | 0.43 | 0.14 | 2.1x | 75 | 57% |
| 볼린저 밴드 돌파 n=23, k=1.6 |
9.0% | -64.1% | 0.41 | 0.14 | 2.0x | 78 | 32% |
| MACD fast=26, slow=64, signal=29 |
5.6% | -79.8% | 0.36 | 0.07 | 1.6x | 66 | 48% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-5.2% | -88.4% | 0.13 | -0.06 | 0.6x | 134 | 48% |
| Buy and hold | 10.7% | -88.7% | 0.49 | 0.12 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 204-day EMA
- Sell — Sell when the 55-day EMA falls below the 204-day EMA