Trend-Following Backtester · Guide · backtest 한국어
equity · US
Evercore Inc. backtest
10 trend-following strategies were compared on the full daily history of Evercore Inc.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.7%, MDD -44.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.5%, drawdown -82.2%).
Sharpe leader (same as main): Supertrend — CAGR 15.7%, MDD -44.5%, Sharpe 0.66, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 15.7%, MDD -44.5%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=4.3 |
15.7% | -44.5% | 0.66 | 0.35 | 18.4x | 68 | 58% |
| Donchian 채널 돌파 entryN=105, exitN=78 |
12.5% | -45.4% | 0.62 | 0.27 | 10.5x | 24 | 49% |
| SMA 크로스오버 fast=19, slow=258 |
12.9% | -45.4% | 0.62 | 0.28 | 11.4x | 21 | 56% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=19, mult=3.7 |
9.6% | -34.4% | 0.61 | 0.28 | 6.2x | 42 | 29% |
| ROC 모멘텀 n=137, threshold=0.13 |
9.3% | -35.6% | 0.52 | 0.26 | 5.9x | 150 | 40% |
| EMA 크로스오버 fast=36, slow=192 |
10.0% | -49.7% | 0.51 | 0.20 | 6.6x | 33 | 57% |
| ADX / DI 방향성 period=20, threshold=31 |
4.0% | -18.0% | 0.49 | 0.22 | 2.2x | 28 | 8% |
| 볼린저 밴드 돌파 n=49, k=2.3 |
7.7% | -50.5% | 0.47 | 0.15 | 4.4x | 62 | 31% |
| Parabolic SAR step=0.015, maxStep=0.28 |
1.0% | -79.9% | 0.17 | 0.01 | 1.2x | 368 | 53% |
| MACD fast=10, slow=38, signal=10 |
-3.1% | -73.0% | 0.03 | -0.04 | 0.5x | 386 | 50% |
| Buy and hold | 13.5% | -82.2% | 0.51 | 0.16 | 12.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)