Trend-Following Backtester · Guide · backtest 한국어
equity · US
The York Water Company backtest
10 trend-following strategies were compared on the full daily history of The York Water Company. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.3%, MDD -35.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -50.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.3%, MDD -35.3%, Sharpe 0.33, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 5.3%, MDD -35.3%, exposure 64%).
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=51, slow=280 |
5.3% | -35.3% | 0.33 | 0.15 | 4.0x | 26 | 64% |
| SMA 크로스오버 fast=57, slow=141 |
4.2% | -40.1% | 0.29 | 0.11 | 3.1x | 56 | 56% |
| Donchian 채널 돌파 entryN=116, exitN=72 |
-0.3% | -62.8% | 0.08 | -0.00 | 0.9x | 34 | 42% |
| ADX / DI 방향성 period=14, threshold=37 |
-0.0% | -17.0% | 0.01 | -0.00 | 1.0x | 24 | 2% |
| Supertrend period=33, mult=3.3 |
-4.9% | -82.9% | -0.11 | -0.06 | 0.3x | 141 | 54% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=3.9 |
-2.5% | -58.9% | -0.16 | -0.04 | 0.5x | 44 | 13% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
-1.8% | -48.0% | -0.17 | -0.04 | 0.6x | 34 | 7% |
| MACD fast=19, slow=62, signal=26 |
-6.6% | -89.8% | -0.23 | -0.07 | 0.2x | 263 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-8.3% | -92.0% | -0.29 | -0.09 | 0.1x | 239 | 51% |
| ROC 모멘텀 n=120, threshold=0.03 |
-8.9% | -95.6% | -0.33 | -0.09 | 0.1x | 390 | 46% |
| Buy and hold | 6.1% | -50.8% | 0.35 | 0.12 | 5.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 280-day EMA
- Sell — Sell when the 51-day EMA falls below the 280-day EMA