Trend-Following Backtester · Guide · backtest 한국어
equity · US
MarketAxess Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of MarketAxess Holdings, Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.2%, MDD -46.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.8%, drawdown -81.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.2%, MDD -46.1%, Sharpe 0.68, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 16.2%, MDD -46.1%, exposure 62%).
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=28, slow=329 |
16.2% | -46.1% | 0.68 | 0.35 | 26.0x | 12 | 62% |
| SMA 크로스오버 fast=15, slow=182 |
13.7% | -52.6% | 0.58 | 0.26 | 16.1x | 38 | 59% |
| Donchian 채널 돌파 entryN=116, exitN=43 |
9.8% | -45.8% | 0.52 | 0.21 | 7.7x | 34 | 44% |
| ROC 모멘텀 n=133, threshold=0.03 |
10.1% | -50.4% | 0.49 | 0.20 | 8.2x | 140 | 56% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=2.7 |
6.0% | -39.2% | 0.43 | 0.15 | 3.5x | 77 | 29% |
| Supertrend period=14, mult=4.4 |
7.7% | -66.3% | 0.41 | 0.12 | 5.0x | 71 | 53% |
| 볼린저 밴드 돌파 n=42, k=1.7 |
6.1% | -46.3% | 0.36 | 0.13 | 3.6x | 119 | 39% |
| Parabolic SAR step=0.005, maxStep=0.38 |
4.1% | -69.7% | 0.28 | 0.06 | 2.4x | 193 | 52% |
| ADX / DI 방향성 period=30, threshold=20 |
2.6% | -42.7% | 0.24 | 0.06 | 1.7x | 71 | 18% |
| MACD fast=25, slow=38, signal=37 |
1.7% | -63.9% | 0.20 | 0.03 | 1.4x | 187 | 51% |
| Buy and hold | 10.8% | -81.5% | 0.45 | 0.13 | 9.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 329-day EMA
- Sell — Sell when the 28-day EMA falls below the 329-day EMA