Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eagle Financial Services Inc backtest
10 trend-following strategies were compared on the full daily history of Eagle Financial Services Inc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.4%, MDD -33.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -68.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.5%, MDD -5.2%, Sharpe 0.51, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.4%, MDD -33.9%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 63.4%p (CAGR 4.4%, MDD -33.9%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=100, threshold=0.34 |
1.5% | -5.2% | 0.51 | 0.28 | 1.4x | 6 | 2% |
| SMA 크로스오버 fast=31, slow=198 |
4.4% | -33.9% | 0.33 | 0.13 | 3.0x | 41 | 53% |
| ADX / DI 방향성 period=25, threshold=29 |
1.8% | -24.7% | 0.24 | 0.07 | 1.6x | 32 | 11% |
| EMA 크로스오버 fast=51, slow=187 |
2.6% | -43.9% | 0.24 | 0.06 | 1.9x | 35 | 55% |
| Donchian 채널 돌파 entryN=80, exitN=54 |
1.0% | -59.7% | 0.14 | 0.02 | 1.3x | 51 | 55% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
0.6% | -45.2% | 0.10 | 0.01 | 1.2x | 40 | 13% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-2.8% | -82.9% | -0.08 | -0.03 | 0.5x | 106 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=4 |
-6.6% | -91.6% | -0.39 | -0.07 | 0.2x | 130 | 34% |
| Supertrend period=9, mult=4.9 |
-9.9% | -96.2% | -0.48 | -0.10 | 0.1x | 215 | 55% |
| MACD fast=18, slow=41, signal=23 |
-10.8% | -96.9% | -0.58 | -0.11 | 0.1x | 304 | 47% |
| Buy and hold | 4.6% | -68.6% | 0.30 | 0.07 | 3.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 100-day return is greater than 34%
- Sell — Sell when the 100-day return drops to 34% or below