Trend-Following Backtester · Guide · backtest 한국어
equity · US
Equitable Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Equitable Holdings, Inc.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.9%, MDD -37.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -61.6%).
Sharpe leader (same as main): MACD — CAGR 8.3%, MDD -33.8%, Sharpe 0.45, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.9%, MDD -37.1%, exposure 83%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 8.9%, MDD -37.1%, exposure 83%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=15, slow=25, signal=17 |
8.3% | -33.8% | 0.45 | 0.24 | 1.9x | 100 | 51% |
| Donchian 채널 돌파 entryN=18, exitN=71 |
8.9% | -37.1% | 0.43 | 0.24 | 2.0x | 19 | 83% |
| Supertrend period=13, mult=4.9 |
5.5% | -42.6% | 0.34 | 0.13 | 1.6x | 27 | 60% |
| ROC 모멘텀 n=178, threshold=0.11 |
4.3% | -32.2% | 0.32 | 0.13 | 1.4x | 42 | 40% |
| SMA 크로스오버 fast=57, slow=199 |
4.9% | -61.6% | 0.31 | 0.08 | 1.5x | 9 | 61% |
| EMA 크로스오버 fast=42, slow=165 |
1.8% | -50.6% | 0.20 | 0.03 | 1.2x | 13 | 61% |
| ADX / DI 방향성 period=39, threshold=20 |
0.6% | -10.7% | 0.13 | 0.06 | 1.1x | 8 | 7% |
| 볼린저 밴드 돌파 n=47, k=0.7 |
-0.6% | -43.3% | 0.08 | -0.01 | 1.0x | 79 | 54% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=2.6 |
-0.3% | -33.9% | 0.07 | -0.01 | 1.0x | 35 | 32% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.4% | -58.6% | -0.02 | -0.06 | 0.8x | 156 | 57% |
| Buy and hold | 11.4% | -61.6% | 0.47 | 0.19 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (15/25) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line