Trend-Following Backtester · Guide · backtest 한국어
equity · US
Euronet Worldwide, Inc. backtest
10 trend-following strategies were compared on the full daily history of Euronet Worldwide, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.1%, MDD -49.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.4%, drawdown -88.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -68.2%, Sharpe 0.42, 54% exposure.
CAGR reference leader: Parabolic SAR — CAGR 9.1%, MDD -78.8%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 5.1%, MDD -49.5%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=162 |
9.0% | -68.2% | 0.42 | 0.13 | 12.7x | 61 | 54% |
| Parabolic SAR step=0.005, maxStep=0.18 |
9.1% | -78.8% | 0.42 | 0.12 | 13.1x | 237 | 53% |
| ROC 모멘텀 n=146, threshold=0.11 |
8.4% | -65.4% | 0.42 | 0.13 | 10.8x | 190 | 40% |
| 볼린저 밴드 돌파 n=46, k=1 |
7.9% | -72.5% | 0.40 | 0.11 | 9.4x | 213 | 45% |
| Supertrend period=23, mult=2 |
7.9% | -74.5% | 0.39 | 0.11 | 9.3x | 324 | 55% |
| Donchian 채널 돌파 entryN=101, exitN=98 |
7.6% | -76.4% | 0.39 | 0.10 | 8.5x | 39 | 53% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=21, mult=4 |
5.1% | -49.5% | 0.36 | 0.10 | 4.3x | 54 | 20% |
| EMA 크로스오버 fast=24, slow=146 |
4.9% | -78.6% | 0.31 | 0.06 | 4.1x | 63 | 56% |
| ADX / DI 방향성 period=19, threshold=25 |
2.8% | -40.4% | 0.25 | 0.07 | 2.3x | 140 | 19% |
| MACD fast=6, slow=57, signal=10 |
-1.1% | -84.8% | 0.15 | -0.01 | 0.7x | 646 | 52% |
| Buy and hold | 5.4% | -88.0% | 0.36 | 0.06 | 4.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 31-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 31-day average falls below the 162-day average