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 Keltner 채널 돌파 (CAGR 8.7%, MDD -64.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.0%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -83.0%, Sharpe 0.50, 31% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 15.5%, MDD -90.8%, exposure 34%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 30.7%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 8.7%, MDD -64.5%, exposure 11%).
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=47, slow=197 |
14.7% | -83.0% | 0.50 | 0.18 | 7.6x | 17 | 31% |
| ADX / DI 방향성 period=30, threshold=19 |
15.5% | -90.8% | 0.49 | 0.17 | 8.4x | 40 | 34% |
| EMA 크로스오버 fast=57, slow=181 |
13.9% | -76.5% | 0.48 | 0.18 | 6.9x | 9 | 27% |
| Supertrend period=5, mult=4.5 |
4.9% | -97.9% | 0.43 | 0.05 | 2.0x | 45 | 57% |
| Donchian 채널 돌파 entryN=94, exitN=53 |
8.9% | -94.5% | 0.42 | 0.09 | 3.5x | 15 | 31% |
| ROC 모멘텀 n=59, threshold=0.06 |
6.9% | -98.3% | 0.41 | 0.07 | 2.7x | 167 | 34% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=6, mult=3.9 |
8.7% | -64.5% | 0.40 | 0.14 | 3.5x | 14 | 11% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
5.1% | -91.9% | 0.35 | 0.06 | 2.1x | 38 | 21% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-5.0% | -95.7% | 0.28 | -0.05 | 0.5x | 182 | 41% |
| MACD fast=17, slow=54, signal=10 |
-13.6% | -99.2% | 0.16 | -0.14 | 0.1x | 198 | 49% |
| Buy and hold | -16.0% | -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 47-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 47-day average falls below the 197-day average