Trend-Following Backtester · Guide · backtest 한국어
equity · US
EPAM Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of EPAM Systems, Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.1%, MDD -55.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.9%, drawdown -89.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.1%, MDD -55.7%, Sharpe 0.72, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 17.1%, MDD -55.7%, exposure 62%).
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=9, slow=145 |
17.1% | -55.7% | 0.72 | 0.31 | 9.9x | 30 | 62% |
| SMA 크로스오버 fast=6, slow=137 |
15.6% | -56.6% | 0.67 | 0.28 | 8.2x | 44 | 63% |
| ROC 모멘텀 n=140, threshold=0.06 |
14.1% | -53.5% | 0.63 | 0.26 | 6.7x | 92 | 60% |
| Donchian 채널 돌파 entryN=96, exitN=44 |
13.0% | -42.9% | 0.63 | 0.30 | 5.8x | 22 | 53% |
| 볼린저 밴드 돌파 n=14, k=1.8 |
9.3% | -46.1% | 0.52 | 0.20 | 3.6x | 211 | 39% |
| Supertrend period=23, mult=3.7 |
10.1% | -58.4% | 0.49 | 0.17 | 4.0x | 77 | 61% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=1.6 |
8.1% | -39.0% | 0.48 | 0.21 | 3.1x | 123 | 40% |
| MACD fast=11, slow=72, signal=23 |
8.2% | -55.7% | 0.44 | 0.15 | 3.1x | 165 | 53% |
| Parabolic SAR step=0.01, maxStep=0.2 |
5.2% | -78.7% | 0.32 | 0.07 | 2.1x | 193 | 57% |
| ADX / DI 방향성 period=20, threshold=19 |
3.2% | -50.7% | 0.27 | 0.06 | 1.6x | 99 | 30% |
| Buy and hold | 14.9% | -89.4% | 0.55 | 0.17 | 7.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 145-day EMA
- Sell — Sell when the 9-day EMA falls below the 145-day EMA