Trend-Following Backtester · Guide · backtest 한국어
equity · US
SLM Corporation backtest
10 trend-following strategies were compared on the full daily history of SLM Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.9%, MDD -54.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -94.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.9%, MDD -54.0%, Sharpe 0.51, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 40.5%p (CAGR 9.9%, MDD -54.0%, exposure 69%).
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=104, slow=164 |
9.9% | -54.0% | 0.51 | 0.18 | 57.1x | 36 | 69% |
| ROC 모멘텀 n=35, threshold=-0.11 |
8.5% | -77.7% | 0.42 | 0.11 | 33.0x | 295 | 88% |
| ADX / DI 방향성 period=49, threshold=18 |
4.3% | -26.4% | 0.41 | 0.16 | 6.1x | 48 | 17% |
| Donchian 채널 돌파 entryN=101, exitN=45 |
6.3% | -56.6% | 0.40 | 0.11 | 13.7x | 76 | 48% |
| SMA 크로스오버 fast=28, slow=119 |
7.1% | -67.0% | 0.40 | 0.11 | 18.6x | 109 | 61% |
| Supertrend period=24, mult=4.4 |
6.6% | -50.4% | 0.39 | 0.13 | 15.2x | 171 | 61% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
3.6% | -45.2% | 0.31 | 0.08 | 4.5x | 115 | 26% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=23, mult=3.6 |
2.9% | -45.5% | 0.26 | 0.06 | 3.4x | 131 | 27% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.9% | -86.6% | 0.17 | 0.01 | 1.5x | 361 | 56% |
| MACD fast=19, slow=69, signal=22 |
-0.2% | -85.3% | 0.13 | -0.00 | 0.9x | 419 | 50% |
| Buy and hold | 11.1% | -94.5% | 0.46 | 0.12 | 91.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 104-day EMA crosses above the 164-day EMA
- Sell — Sell when the 104-day EMA falls below the 164-day EMA