Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coursera, Inc. backtest
10 trend-following strategies were compared on the full daily history of Coursera, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.3%, MDD -27.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -33.1%, drawdown -91.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.3%, MDD -27.9%, Sharpe 0.28, 27% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 37.4%p higher than buy and hold, while drawdown improves by 63.3%p (CAGR 4.3%, MDD -27.9%, exposure 27%).
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=7, slow=119 |
4.3% | -27.9% | 0.28 | 0.15 | 1.3x | 8 | 27% |
| SMA 크로스오버 fast=6, slow=126 |
1.2% | -32.8% | 0.18 | 0.04 | 1.1x | 12 | 30% |
| ROC 모멘텀 n=94, threshold=0.12 |
1.3% | -31.1% | 0.17 | 0.04 | 1.1x | 24 | 17% |
| Supertrend period=14, mult=4.7 |
-3.9% | -51.0% | 0.06 | -0.08 | 0.8x | 14 | 41% |
| Donchian 채널 돌파 entryN=61, exitN=53 |
-6.0% | -46.5% | -0.05 | -0.13 | 0.7x | 8 | 31% |
| ADX / DI 방향성 period=18, threshold=13 |
-9.8% | -61.0% | -0.10 | -0.16 | 0.6x | 68 | 35% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-17.9% | -72.3% | -0.29 | -0.25 | 0.3x | 86 | 38% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
-13.4% | -56.3% | -0.33 | -0.24 | 0.5x | 28 | 28% |
| MACD fast=19, slow=45, signal=14 |
-23.6% | -77.0% | -0.38 | -0.31 | 0.2x | 57 | 49% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=2.1 |
-11.8% | -49.8% | -0.49 | -0.24 | 0.5x | 20 | 21% |
| Buy and hold | -33.1% | -91.2% | -0.38 | -0.36 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 119-day EMA
- Sell — Sell when the 7-day EMA falls below the 119-day EMA