Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intuit Inc. backtest
10 trend-following strategies were compared on the full daily history of Intuit 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 15.4%, drawdown -75.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -65.7%, Sharpe 0.48, 67% 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=47, slow=89 |
11.3% | -65.7% | 0.48 | 0.17 | 36.0x | 86 | 67% |
| EMA 크로스오버 fast=55, slow=180 |
8.6% | -84.4% | 0.41 | 0.10 | 15.5x | 42 | 71% |
| Donchian 채널 돌파 entryN=79, exitN=62 |
6.3% | -80.1% | 0.35 | 0.08 | 7.7x | 60 | 58% |
| Supertrend period=29, mult=4.9 |
6.2% | -81.4% | 0.35 | 0.08 | 7.5x | 106 | 60% |
| ROC 모멘텀 n=91, threshold=-0.04 |
5.9% | -80.9% | 0.34 | 0.07 | 6.7x | 300 | 74% |
| Parabolic SAR step=0.005, maxStep=0.02 |
0.5% | -85.4% | 0.18 | 0.01 | 1.2x | 195 | 60% |
| 볼린저 밴드 돌파 n=77, k=2.1 |
0.6% | -84.7% | 0.15 | 0.01 | 1.2x | 130 | 39% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=16, mult=3.4 |
-0.3% | -66.3% | 0.07 | -0.00 | 0.9x | 106 | 21% |
| ADX / DI 방향성 period=24, threshold=35 |
0.1% | -24.4% | 0.05 | 0.00 | 1.0x | 18 | 2% |
| MACD fast=13, slow=20, signal=18 |
-3.6% | -94.9% | 0.05 | -0.04 | 0.3x | 567 | 50% |
| Buy and hold | 15.4% | -75.3% | 0.54 | 0.20 | 118.9x | 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 47-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 47-day average falls below the 89-day average