Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dynex Capital, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dynex Capital, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.6%, MDD -24.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.0%, drawdown -99.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -72.9%, Sharpe 0.49, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 0.6%, MDD -24.6%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=25, slow=206 |
8.9% | -72.9% | 0.49 | 0.12 | 26.8x | 52 | 53% |
| EMA 크로스오버 fast=38, slow=160 |
8.1% | -73.1% | 0.46 | 0.11 | 20.1x | 54 | 52% |
| Donchian 채널 돌파 entryN=111, exitN=47 |
6.7% | -45.0% | 0.42 | 0.15 | 11.9x | 50 | 38% |
| ROC 모멘텀 n=149, threshold=0 |
5.5% | -82.2% | 0.34 | 0.07 | 7.8x | 280 | 51% |
| ADX / DI 방향성 period=25, threshold=25 |
3.5% | -40.0% | 0.31 | 0.09 | 3.8x | 78 | 10% |
| 볼린저 밴드 돌파 n=78, k=3.5 |
3.4% | -48.2% | 0.29 | 0.07 | 3.6x | 30 | 12% |
| Supertrend period=9, mult=4.5 |
2.4% | -80.6% | 0.22 | 0.03 | 2.5x | 121 | 46% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.1% | -79.0% | 0.14 | -0.00 | 1.0x | 286 | 51% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=28, mult=3.9 |
0.6% | -24.6% | 0.13 | 0.02 | 1.3x | 18 | 2% |
| MACD fast=19, slow=31, signal=25 |
-6.6% | -94.1% | -0.06 | -0.07 | 0.1x | 426 | 51% |
| Buy and hold | -4.0% | -99.3% | 0.16 | -0.04 | 0.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 25-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 25-day average falls below the 206-day average