Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trimble Inc. backtest
10 trend-following strategies were compared on the full daily history of Trimble Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.0%, MDD -62.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.3%, drawdown -87.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.0%, MDD -62.8%, Sharpe 0.53, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 13.0%, MDD -62.8%, exposure 59%).
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=39, slow=87 |
13.0% | -62.8% | 0.53 | 0.21 | 82.9x | 60 | 59% |
| SMA 크로스오버 fast=29, slow=86 |
13.0% | -63.3% | 0.53 | 0.21 | 82.2x | 95 | 57% |
| Donchian 채널 돌파 entryN=46, exitN=70 |
12.4% | -70.4% | 0.51 | 0.18 | 68.8x | 69 | 62% |
| Supertrend period=23, mult=5 |
11.2% | -67.7% | 0.49 | 0.17 | 46.4x | 101 | 56% |
| 볼린저 밴드 돌파 n=90, k=2.2 |
6.7% | -49.9% | 0.38 | 0.14 | 10.6x | 80 | 36% |
| ROC 모멘텀 n=75, threshold=0.01 |
6.8% | -77.1% | 0.36 | 0.09 | 10.8x | 363 | 56% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=2.2 |
5.0% | -45.0% | 0.32 | 0.11 | 5.9x | 189 | 38% |
| ADX / DI 방향성 period=54, threshold=6 |
3.0% | -74.0% | 0.25 | 0.04 | 3.0x | 341 | 54% |
| Parabolic SAR step=0.01, maxStep=0.36 |
1.1% | -87.5% | 0.20 | 0.01 | 1.5x | 461 | 53% |
| MACD fast=24, slow=52, signal=17 |
-0.9% | -89.7% | 0.14 | -0.01 | 0.7x | 361 | 52% |
| Buy and hold | 10.3% | -87.2% | 0.44 | 0.12 | 34.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 87-day EMA
- Sell — Sell when the 39-day EMA falls below the 87-day EMA