Trend-Following Backtester · Guide · backtest 한국어
equity · US
Match Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Match Group, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.6%, drawdown -84.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.1%, MDD -68.6%, Sharpe 0.53, 56% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=24, slow=56 |
13.1% | -68.6% | 0.53 | 0.19 | 62.9x | 107 | 56% |
| Donchian 채널 돌파 entryN=36, exitN=78 |
13.0% | -76.5% | 0.50 | 0.17 | 60.2x | 65 | 70% |
| SMA 크로스오버 fast=14, slow=99 |
10.7% | -70.5% | 0.46 | 0.15 | 30.6x | 107 | 56% |
| ADX / DI 방향성 period=34, threshold=28 |
6.9% | -29.5% | 0.45 | 0.23 | 9.4x | 20 | 7% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
9.4% | -51.8% | 0.44 | 0.18 | 20.2x | 155 | 42% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=2 |
8.5% | -54.0% | 0.41 | 0.16 | 15.4x | 165 | 41% |
| Supertrend period=13, mult=2.8 |
7.8% | -65.1% | 0.39 | 0.12 | 12.5x | 227 | 53% |
| ROC 모멘텀 n=55, threshold=-0.01 |
3.8% | -76.9% | 0.28 | 0.05 | 3.5x | 487 | 58% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.8% | -78.3% | 0.27 | 0.05 | 3.5x | 277 | 54% |
| MACD fast=18, slow=55, signal=24 |
0.7% | -89.8% | 0.18 | 0.01 | 1.3x | 363 | 51% |
| Buy and hold | 15.6% | -84.6% | 0.54 | 0.18 | 129.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 56-day EMA
- Sell — Sell when the 24-day EMA falls below the 56-day EMA