Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coherent Corp. backtest
10 trend-following strategies were compared on the full daily history of Coherent Corp.. 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 18.2%, drawdown -80.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.1%, MDD -71.8%, Sharpe 0.49, 59% 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=32, slow=256 |
13.1% | -71.8% | 0.49 | 0.18 | 122.2x | 59 | 59% |
| Supertrend period=28, mult=4.1 |
12.3% | -84.0% | 0.48 | 0.15 | 92.3x | 165 | 53% |
| SMA 크로스오버 fast=6, slow=95 |
11.6% | -87.0% | 0.46 | 0.13 | 71.7x | 194 | 56% |
| Donchian 채널 돌파 entryN=27, exitN=69 |
10.0% | -88.0% | 0.43 | 0.11 | 40.8x | 108 | 74% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=2 |
7.5% | -91.5% | 0.37 | 0.08 | 16.5x | 198 | 40% |
| ADX / DI 방향성 period=36, threshold=20 |
6.5% | -80.6% | 0.36 | 0.08 | 11.5x | 76 | 15% |
| Parabolic SAR step=0.015, maxStep=0.28 |
5.4% | -78.2% | 0.33 | 0.07 | 7.8x | 616 | 52% |
| ROC 모멘텀 n=133, threshold=0.02 |
4.1% | -94.6% | 0.31 | 0.04 | 4.8x | 405 | 56% |
| 볼린저 밴드 돌파 n=37, k=1.9 |
4.3% | -82.1% | 0.29 | 0.05 | 5.2x | 240 | 34% |
| MACD fast=18, slow=43, signal=15 |
-3.0% | -95.1% | 0.13 | -0.03 | 0.3x | 518 | 52% |
| Buy and hold | 18.2% | -80.9% | 0.57 | 0.23 | 680.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 32-day EMA crosses above the 256-day EMA
- Sell — Sell when the 32-day EMA falls below the 256-day EMA