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.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.0%, MDD -55.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.7%, drawdown -89.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.0%, MDD -55.7%, Sharpe 0.72, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 17.0%, 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 |
17.0% | -55.7% | 0.72 | 0.31 | 9.9x | 30 | 62% |
| SMA 크로스오버 fast=6, slow=137 |
15.7% | -56.6% | 0.67 | 0.28 | 8.3x | 45 | 62% |
| ROC 모멘텀 n=140, threshold=0.06 |
14.0% | -53.5% | 0.63 | 0.26 | 6.7x | 92 | 60% |
| Donchian 채널 돌파 entryN=96, exitN=44 |
12.9% | -42.9% | 0.62 | 0.30 | 5.8x | 22 | 52% |
| Supertrend period=23, mult=3.7 |
10.9% | -58.4% | 0.52 | 0.19 | 4.5x | 77 | 62% |
| 볼린저 밴드 돌파 n=14, k=1.8 |
8.3% | -46.1% | 0.47 | 0.18 | 3.2x | 212 | 39% |
| MACD fast=11, slow=72, signal=23 |
9.0% | -55.7% | 0.46 | 0.16 | 3.5x | 165 | 54% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=1.6 |
7.5% | -39.0% | 0.45 | 0.19 | 2.9x | 125 | 40% |
| Parabolic SAR step=0.01, maxStep=0.2 |
4.7% | -78.7% | 0.31 | 0.06 | 1.9x | 195 | 57% |
| ADX / DI 방향성 period=20, threshold=19 |
2.3% | -50.7% | 0.22 | 0.04 | 1.4x | 100 | 30% |
| Buy and hold | 15.7% | -89.4% | 0.56 | 0.18 | 8.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 145-day EMA
- Sell — Sell when the 9-day EMA falls below the 145-day EMA