Trend-Following Backtester · Guide · backtest 한국어
equity · US
Equinix, Inc. backtest
10 trend-following strategies were compared on the full daily history of Equinix, Inc.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.2%, MDD -49.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.5%, drawdown -99.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.2%, MDD -56.8%, Sharpe 0.57, 62% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 6.2%, MDD -49.7%, exposure 12%).
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=14, slow=69 |
14.2% | -56.8% | 0.57 | 0.25 | 31.4x | 100 | 62% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=2.2 |
12.2% | -55.1% | 0.55 | 0.22 | 19.7x | 134 | 37% |
| SMA 크로스오버 fast=40, slow=132 |
12.5% | -68.6% | 0.53 | 0.18 | 21.5x | 45 | 61% |
| 볼린저 밴드 돌파 n=42, k=3 |
10.0% | -53.1% | 0.53 | 0.19 | 11.8x | 34 | 12% |
| ROC 모멘텀 n=68, threshold=0 |
10.9% | -64.2% | 0.47 | 0.17 | 14.6x | 260 | 60% |
| Donchian 채널 돌파 entryN=59, exitN=57 |
10.4% | -72.1% | 0.47 | 0.14 | 13.0x | 58 | 58% |
| Supertrend period=26, mult=4.4 |
7.9% | -53.1% | 0.40 | 0.15 | 7.2x | 96 | 59% |
| ADX / DI 방향성 period=19, threshold=28 |
6.2% | -49.7% | 0.38 | 0.12 | 4.8x | 86 | 12% |
| MACD fast=11, slow=46, signal=14 |
5.6% | -75.0% | 0.33 | 0.07 | 4.1x | 383 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.0% | -78.8% | 0.13 | -0.03 | 0.6x | 239 | 57% |
| Buy and hold | 3.5% | -99.4% | 0.35 | 0.03 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 69-day EMA
- Sell — Sell when the 14-day EMA falls below the 69-day EMA