Trend-Following Backtester · Guide · backtest 한국어
equity · US
American International Group, Inc. New backtest
10 trend-following strategies were compared on the full daily history of American International Group, Inc. New. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.3%, MDD -47.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.2%, drawdown -99.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.3%, MDD -47.1%, Sharpe 0.40, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -79.8%, exposure 70%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 52.6%p (CAGR 6.3%, MDD -47.1%, exposure 62%).
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=19, slow=109 |
6.3% | -47.1% | 0.40 | 0.13 | 26.5x | 147 | 62% |
| ROC 모멘텀 n=147, threshold=-0.03 |
6.2% | -61.4% | 0.38 | 0.10 | 25.6x | 332 | 67% |
| Donchian 채널 돌파 entryN=17, exitN=36 |
6.4% | -79.8% | 0.37 | 0.08 | 28.2x | 243 | 70% |
| SMA 크로스오버 fast=27, slow=218 |
4.9% | -57.1% | 0.33 | 0.09 | 13.2x | 91 | 63% |
| Supertrend period=23, mult=3.3 |
3.1% | -63.3% | 0.25 | 0.05 | 5.1x | 461 | 57% |
| 볼린저 밴드 돌파 n=21, k=2.8 |
2.1% | -54.0% | 0.21 | 0.04 | 3.0x | 132 | 10% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.2% | -66.3% | 0.17 | 0.02 | 1.9x | 477 | 55% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=27, mult=1.2 |
0.2% | -71.7% | 0.12 | 0.00 | 1.1x | 519 | 49% |
| MACD fast=14, slow=40, signal=19 |
-0.9% | -97.6% | 0.12 | -0.01 | 0.6x | 683 | 51% |
| ADX / DI 방향성 period=16, threshold=30 |
0.4% | -59.5% | 0.10 | 0.01 | 1.3x | 218 | 12% |
| Buy and hold | 2.2% | -99.7% | 0.26 | 0.02 | 3.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 109-day EMA
- Sell — Sell when the 19-day EMA falls below the 109-day EMA