Trend-Following Backtester · Guide · backtest 한국어
equity · US
1st Source Corporation backtest
10 trend-following strategies were compared on the full daily history of 1st Source Corporation. 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 9.6%, drawdown -66.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -50.5%, Sharpe 0.38, 66% 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=37, slow=142 |
6.8% | -50.5% | 0.38 | 0.13 | 17.0x | 65 | 66% |
| SMA 크로스오버 fast=55, slow=163 |
5.7% | -57.8% | 0.34 | 0.10 | 11.1x | 71 | 65% |
| ADX / DI 방향성 period=48, threshold=38 |
1.9% | -13.6% | 0.32 | 0.14 | 2.2x | 10 | 6% |
| ROC 모멘텀 n=138, threshold=-0.13 |
2.9% | -90.2% | 0.25 | 0.03 | 3.4x | 225 | 85% |
| Donchian 채널 돌파 entryN=115, exitN=77 |
2.8% | -71.9% | 0.24 | 0.04 | 3.3x | 59 | 54% |
| Supertrend period=14, mult=3.5 |
1.2% | -86.1% | 0.18 | 0.01 | 1.7x | 193 | 59% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
1.2% | -65.0% | 0.16 | 0.02 | 1.7x | 89 | 21% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.5% | -98.2% | 0.02 | -0.03 | 0.3x | 538 | 55% |
| MACD fast=20, slow=77, signal=25 |
-2.6% | -92.4% | 0.01 | -0.03 | 0.3x | 390 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=15, mult=2 |
-0.8% | -52.2% | -0.01 | -0.02 | 0.7x | 166 | 10% |
| Buy and hold | 9.6% | -66.6% | 0.43 | 0.14 | 51.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 142-day EMA
- Sell — Sell when the 37-day EMA falls below the 142-day EMA