Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enterprise Financial Services Corporation backtest
10 trend-following strategies were compared on the full daily history of Enterprise Financial Services Corporation. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.5%, MDD -40.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.9%, drawdown -78.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.5%, MDD -40.7%, Sharpe 0.47, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 8.5%, MDD -40.7%, exposure 62%).
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=33, slow=307 |
8.5% | -40.7% | 0.47 | 0.21 | 6.6x | 17 | 62% |
| SMA 크로스오버 fast=42, slow=289 |
5.9% | -52.2% | 0.36 | 0.11 | 3.8x | 23 | 61% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
6.2% | -79.1% | 0.35 | 0.08 | 4.1x | 47 | 88% |
| ROC 모멘텀 n=258, threshold=-0.05 |
5.4% | -60.7% | 0.34 | 0.09 | 3.4x | 123 | 65% |
| Supertrend period=8, mult=4.3 |
0.5% | -70.0% | 0.14 | 0.01 | 1.1x | 79 | 56% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
0.6% | -50.3% | 0.13 | 0.01 | 1.1x | 106 | 39% |
| ADX / DI 방향성 period=22, threshold=43 |
0.4% | -12.4% | 0.11 | 0.03 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=8, mult=2.9 |
0.2% | -33.4% | 0.09 | 0.01 | 1.0x | 78 | 28% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.2% | -75.1% | 0.05 | -0.03 | 0.6x | 200 | 51% |
| MACD fast=18, slow=32, signal=18 |
-4.1% | -83.1% | -0.01 | -0.05 | 0.4x | 292 | 50% |
| Buy and hold | 6.9% | -78.6% | 0.37 | 0.09 | 4.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 307-day EMA
- Sell — Sell when the 33-day EMA falls below the 307-day EMA