Trend-Following Backtester · Guide · backtest 한국어
equity · US
Boeing Company (The) backtest
10 trend-following strategies were compared on the full daily history of Boeing Company (The). 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.8%, MDD -58.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -78.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.8%, MDD -58.5%, Sharpe 0.48, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 20.0%p (CAGR 8.8%, MDD -58.5%, exposure 65%).
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=20, slow=203 |
8.8% | -58.5% | 0.48 | 0.15 | 116.1x | 116 | 65% |
| Donchian 채널 돌파 entryN=105, exitN=77 |
8.0% | -58.7% | 0.46 | 0.14 | 77.4x | 74 | 58% |
| SMA 크로스오버 fast=14, slow=179 |
7.7% | -59.5% | 0.43 | 0.13 | 65.9x | 140 | 62% |
| 볼린저 밴드 돌파 n=48, k=2 |
6.6% | -51.8% | 0.43 | 0.13 | 36.4x | 250 | 37% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=21, mult=2 |
6.1% | -58.1% | 0.41 | 0.11 | 29.1x | 322 | 39% |
| ROC 모멘텀 n=124, threshold=-0.09 |
7.4% | -61.5% | 0.40 | 0.12 | 56.2x | 379 | 76% |
| MACD fast=26, slow=57, signal=18 |
6.5% | -69.1% | 0.39 | 0.09 | 36.0x | 496 | 51% |
| Supertrend period=20, mult=3.2 |
6.5% | -60.5% | 0.39 | 0.11 | 35.9x | 372 | 56% |
| ADX / DI 방향성 period=38, threshold=28 |
2.0% | -24.2% | 0.36 | 0.08 | 3.0x | 22 | 4% |
| Parabolic SAR step=0.01, maxStep=0.14 |
2.8% | -65.1% | 0.23 | 0.04 | 4.6x | 744 | 54% |
| Buy and hold | 10.0% | -78.4% | 0.45 | 0.13 | 219.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 20-day EMA crosses above the 203-day EMA
- Sell — Sell when the 20-day EMA falls below the 203-day EMA