Trend-Following Backtester · Guide · backtest 한국어
equity · US
Meta Platforms, Inc. backtest
10 trend-following strategies were compared on the full daily history of Meta Platforms, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.9%, MDD -23.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 20.7%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.9%, MDD -23.6%, Sharpe 0.95, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 23.9%, MDD -23.6%, exposure 65%).
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=26, slow=78 |
23.9% | -23.6% | 0.95 | 1.01 | 21.0x | 40 | 65% |
| ROC 모멘텀 n=200, threshold=0.07 |
23.6% | -35.0% | 0.90 | 0.67 | 20.2x | 40 | 71% |
| Donchian 채널 돌파 entryN=63, exitN=97 |
23.5% | -34.6% | 0.89 | 0.68 | 20.1x | 14 | 76% |
| EMA 크로스오버 fast=17, slow=218 |
22.6% | -39.5% | 0.88 | 0.57 | 18.1x | 16 | 74% |
| ADX / DI 방향성 period=22, threshold=38 |
6.5% | -8.7% | 0.80 | 0.75 | 2.4x | 8 | 6% |
| Supertrend period=18, mult=3 |
15.8% | -48.1% | 0.66 | 0.33 | 8.0x | 100 | 62% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=27, mult=1.3 |
14.4% | -35.1% | 0.65 | 0.41 | 6.8x | 84 | 58% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
5.2% | -19.3% | 0.51 | 0.27 | 2.0x | 12 | 11% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.2% | -65.6% | 0.25 | 0.05 | 1.6x | 202 | 58% |
| MACD fast=19, slow=42, signal=18 |
2.0% | -83.2% | 0.21 | 0.02 | 1.3x | 168 | 51% |
| Buy and hold | 20.7% | -76.7% | 0.67 | 0.27 | 14.5x | 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 26-day average price crosses above the 78-day average
- Sell — Sell (to cash) when the 26-day average falls below the 78-day average