Trend-Following Backtester · Guide · backtest 한국어
equity · US
XMAX, Inc. backtest
10 trend-following strategies were compared on the full daily history of XMAX, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.1%, MDD -76.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.8%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.1%, MDD -76.8%, Sharpe 0.52, 33% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 31.9%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 16.1%, MDD -76.8%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=174 |
16.1% | -76.8% | 0.52 | 0.21 | 9.3x | 17 | 33% |
| EMA 크로스오버 fast=34, slow=208 |
15.8% | -77.6% | 0.51 | 0.20 | 9.0x | 9 | 27% |
| ADX / DI 방향성 period=30, threshold=18 |
13.7% | -93.8% | 0.47 | 0.15 | 6.8x | 42 | 35% |
| ROC 모멘텀 n=59, threshold=0.11 |
10.9% | -96.1% | 0.46 | 0.11 | 4.7x | 154 | 29% |
| Supertrend period=5, mult=4.2 |
8.0% | -97.2% | 0.45 | 0.08 | 3.2x | 45 | 56% |
| Donchian 채널 돌파 entryN=58, exitN=53 |
7.6% | -96.2% | 0.42 | 0.08 | 3.0x | 21 | 40% |
| 볼린저 밴드 돌파 n=62, k=2.1 |
5.6% | -94.2% | 0.37 | 0.06 | 2.3x | 42 | 24% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=8, mult=2.2 |
5.2% | -91.9% | 0.35 | 0.06 | 2.1x | 44 | 24% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-5.6% | -97.8% | 0.27 | -0.06 | 0.4x | 148 | 43% |
| MACD fast=8, slow=43, signal=24 |
-12.8% | -99.1% | 0.17 | -0.13 | 0.1x | 202 | 49% |
| Buy and hold | -15.8% | -99.9% | 0.35 | -0.16 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 174-day average
- Sell — Sell (to cash) when the 59-day average falls below the 174-day average