Trend-Following Backtester · Guide · backtest 한국어
equity · US
Everest Group, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Everest Group, Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -53.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -44.5%, Sharpe 0.42, 63% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=244 |
6.6% | -44.5% | 0.42 | 0.15 | 7.2x | 37 | 63% |
| EMA 크로스오버 fast=52, slow=183 |
6.5% | -45.5% | 0.41 | 0.14 | 7.0x | 35 | 66% |
| Donchian 채널 돌파 entryN=11, exitN=70 |
4.3% | -65.8% | 0.29 | 0.06 | 3.6x | 85 | 87% |
| ROC 모멘텀 n=145, threshold=-0.09 |
3.6% | -68.6% | 0.27 | 0.05 | 3.0x | 181 | 81% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=4 |
1.6% | -28.8% | 0.23 | 0.06 | 1.6x | 41 | 13% |
| ADX / DI 방향성 period=37, threshold=22 |
1.0% | -31.6% | 0.15 | 0.03 | 1.3x | 46 | 10% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-0.5% | -71.3% | 0.07 | -0.01 | 0.8x | 207 | 58% |
| Supertrend period=17, mult=5 |
-0.7% | -69.4% | 0.06 | -0.01 | 0.8x | 101 | 57% |
| 볼린저 밴드 돌파 n=49, k=3.4 |
-0.3% | -29.2% | -0.03 | -0.01 | 0.9x | 18 | 6% |
| MACD fast=10, slow=37, signal=11 |
-8.3% | -95.4% | -0.34 | -0.09 | 0.1x | 583 | 50% |
| Buy and hold | 10.0% | -53.4% | 0.47 | 0.19 | 19.0x | 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 52-day average price crosses above the 244-day average
- Sell — Sell (to cash) when the 52-day average falls below the 244-day average