Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Ensign Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Ensign Group, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.3%, drawdown -55.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -54.4%, Sharpe 0.65, 68% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=123 |
16.6% | -54.4% | 0.65 | 0.31 | 17.8x | 42 | 68% |
| Donchian 채널 돌파 entryN=37, exitN=49 |
15.8% | -55.8% | 0.65 | 0.28 | 15.5x | 41 | 72% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=24, mult=2.5 |
9.4% | -43.9% | 0.53 | 0.21 | 5.4x | 68 | 44% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
7.6% | -30.7% | 0.52 | 0.25 | 3.9x | 48 | 28% |
| EMA 크로스오버 fast=67, slow=124 |
11.1% | -55.1% | 0.50 | 0.20 | 7.2x | 28 | 72% |
| Supertrend period=17, mult=4.2 |
9.7% | -49.7% | 0.48 | 0.20 | 5.7x | 67 | 65% |
| ROC 모멘텀 n=132, threshold=0.01 |
9.7% | -60.3% | 0.47 | 0.16 | 5.7x | 180 | 67% |
| Parabolic SAR step=0.01, maxStep=0.12 |
8.3% | -58.9% | 0.42 | 0.14 | 4.5x | 261 | 56% |
| MACD fast=16, slow=59, signal=20 |
6.2% | -54.4% | 0.37 | 0.11 | 3.1x | 219 | 50% |
| ADX / DI 방향성 period=39, threshold=16 |
3.6% | -33.3% | 0.31 | 0.11 | 1.9x | 72 | 24% |
| Buy and hold | 22.3% | -55.7% | 0.71 | 0.40 | 43.0x | 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 57-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 57-day average falls below the 123-day average