Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pro-Dex, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pro-Dex, 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 6.4%, MDD -77.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.3%, drawdown -97.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -77.6%, Sharpe 0.37, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 6.4%, MDD -77.6%, exposure 54%).
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=59, slow=157 |
6.4% | -77.6% | 0.37 | 0.08 | 11.7x | 57 | 54% |
| SMA 크로스오버 fast=55, slow=131 |
3.7% | -90.6% | 0.32 | 0.04 | 4.3x | 87 | 53% |
| Donchian 채널 돌파 entryN=30, exitN=79 |
1.3% | -95.2% | 0.29 | 0.01 | 1.7x | 79 | 62% |
| Supertrend period=8, mult=3.2 |
-0.3% | -98.5% | 0.23 | -0.00 | 0.9x | 202 | 49% |
| ADX / DI 방향성 period=28, threshold=16 |
-2.8% | -96.8% | 0.19 | -0.03 | 0.3x | 250 | 46% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.6% | -99.2% | 0.19 | -0.03 | 0.3x | 372 | 50% |
| 볼린저 밴드 돌파 n=43, k=2.1 |
-1.1% | -94.5% | 0.16 | -0.01 | 0.6x | 190 | 30% |
| ROC 모멘텀 n=148, threshold=-0.07 |
-5.6% | -99.7% | 0.15 | -0.06 | 0.1x | 411 | 63% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=1.3 |
-5.2% | -99.5% | 0.09 | -0.05 | 0.1x | 262 | 36% |
| MACD fast=17, slow=48, signal=16 |
-13.1% | -99.9% | 0.01 | -0.13 | 0.0x | 504 | 53% |
| Buy and hold | 3.3% | -97.7% | 0.40 | 0.03 | 3.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 157-day EMA
- Sell — Sell when the 59-day EMA falls below the 157-day EMA