Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Express Company backtest
10 trend-following strategies were compared on the full daily history of American Express Company. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -84.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.3%, MDD -65.1%, Sharpe 0.33, 68% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=47, slow=228 |
5.3% | -65.1% | 0.33 | 0.08 | 16.2x | 67 | 68% |
| Donchian 채널 돌파 entryN=116, exitN=57 |
4.5% | -58.8% | 0.33 | 0.08 | 11.0x | 92 | 47% |
| SMA 크로스오버 fast=30, slow=196 |
4.3% | -62.0% | 0.30 | 0.07 | 9.6x | 103 | 63% |
| ROC 모멘텀 n=118, threshold=-0.08 |
4.1% | -65.4% | 0.29 | 0.06 | 9.0x | 341 | 77% |
| Supertrend period=24, mult=3.7 |
1.6% | -75.6% | 0.18 | 0.02 | 2.4x | 308 | 59% |
| ADX / DI 방향성 period=28, threshold=39 |
0.1% | -2.2% | 0.17 | 0.06 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=21, mult=1.8 |
0.8% | -69.1% | 0.14 | 0.01 | 1.6x | 310 | 49% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
0.5% | -61.2% | 0.12 | 0.01 | 1.3x | 272 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.4% | -89.7% | 0.00 | -0.03 | 0.3x | 482 | 56% |
| MACD fast=14, slow=53, signal=19 |
-6.6% | -98.0% | -0.18 | -0.07 | 0.0x | 686 | 50% |
| Buy and hold | 8.7% | -84.3% | 0.41 | 0.10 | 90.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 228-day EMA
- Sell — Sell when the 47-day EMA falls below the 228-day EMA