Trend-Following Backtester · Guide · backtest 한국어
equity · US
3D Systems Corporation backtest
10 trend-following strategies were compared on the full daily history of 3D Systems Corporation. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
7 of 10 beat buy and hold (CAGR -2.3%, drawdown -98.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -82.2%, Sharpe 0.42, 42% 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=20, slow=217 |
9.6% | -82.2% | 0.42 | 0.12 | 34.0x | 49 | 42% |
| SMA 크로스오버 fast=20, slow=271 |
8.1% | -90.6% | 0.39 | 0.09 | 19.7x | 49 | 43% |
| Donchian 채널 돌파 entryN=86, exitN=24 |
4.9% | -89.3% | 0.30 | 0.06 | 6.4x | 90 | 27% |
| Supertrend period=14, mult=4.5 |
2.3% | -95.1% | 0.30 | 0.02 | 2.4x | 138 | 48% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=10, mult=1.7 |
4.2% | -87.1% | 0.29 | 0.05 | 4.8x | 272 | 27% |
| ADX / DI 방향성 period=29, threshold=22 |
3.7% | -85.2% | 0.26 | 0.04 | 4.1x | 110 | 17% |
| 볼린저 밴드 돌파 n=37, k=1.8 |
2.8% | -84.6% | 0.26 | 0.03 | 2.9x | 244 | 32% |
| MACD fast=27, slow=38, signal=26 |
-3.3% | -97.0% | 0.22 | -0.03 | 0.3x | 340 | 51% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-4.8% | -98.8% | 0.18 | -0.05 | 0.2x | 1131 | 49% |
| ROC 모멘텀 n=118, threshold=0.01 |
-3.7% | -98.7% | 0.18 | -0.04 | 0.2x | 363 | 48% |
| Buy and hold | -2.3% | -98.6% | 0.37 | -0.02 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 20-day EMA crosses above the 217-day EMA
- Sell — Sell when the 20-day EMA falls below the 217-day EMA