Trend-Following Backtester · Guide · backtest 한국어
equity · US
D.R. Horton, Inc. backtest
10 trend-following strategies were compared on the full daily history of D.R. Horton, Inc.. 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 13.9%, drawdown -89.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.0%, MDD -66.5%, Sharpe 0.40, 64% 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=54, slow=186 |
8.0% | -66.5% | 0.40 | 0.12 | 14.0x | 47 | 64% |
| SMA 크로스오버 fast=10, slow=149 |
7.6% | -72.6% | 0.39 | 0.11 | 12.4x | 98 | 61% |
| ADX / DI 방향성 period=84, threshold=3 |
7.3% | -61.9% | 0.38 | 0.12 | 11.0x | 264 | 64% |
| Donchian 채널 돌파 entryN=13, exitN=51 |
7.2% | -81.2% | 0.37 | 0.09 | 10.7x | 131 | 80% |
| Supertrend period=14, mult=5 |
6.6% | -72.3% | 0.36 | 0.09 | 9.0x | 101 | 58% |
| Keltner 채널 돌파 emaPeriod=95, atrPeriod=17, mult=3.1 |
4.6% | -76.8% | 0.31 | 0.06 | 4.6x | 98 | 40% |
| ROC 모멘텀 n=107, threshold=0.02 |
2.6% | -79.1% | 0.24 | 0.03 | 2.4x | 328 | 57% |
| MACD fast=27, slow=51, signal=24 |
2.4% | -77.1% | 0.24 | 0.03 | 2.3x | 282 | 53% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
1.6% | -70.2% | 0.19 | 0.02 | 1.7x | 176 | 42% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.6% | -82.1% | 0.15 | -0.01 | 0.8x | 298 | 57% |
| Buy and hold | 13.9% | -89.7% | 0.51 | 0.16 | 86.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 186-day EMA
- Sell — Sell when the 54-day EMA falls below the 186-day EMA