Trend-Following Backtester · Guide · backtest 한국어
equity · US
First American Corporation (New) backtest
10 trend-following strategies were compared on the full daily history of First American Corporation (New). 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 10.7%, drawdown -50.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -44.0%, Sharpe 0.48, 62% 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=90 |
7.3% | -44.0% | 0.48 | 0.17 | 3.1x | 43 | 62% |
| Supertrend period=34, mult=3.8 |
6.9% | -40.8% | 0.44 | 0.17 | 3.0x | 73 | 63% |
| 볼린저 밴드 돌파 n=33, k=2.9 |
3.3% | -14.6% | 0.43 | 0.23 | 1.7x | 33 | 17% |
| Donchian 채널 돌파 entryN=25, exitN=63 |
7.0% | -46.3% | 0.42 | 0.15 | 3.0x | 39 | 79% |
| ROC 모멘텀 n=124, threshold=-0.06 |
4.3% | -54.6% | 0.31 | 0.08 | 2.0x | 93 | 75% |
| EMA 크로스오버 fast=33, slow=72 |
3.9% | -54.6% | 0.30 | 0.07 | 1.8x | 53 | 66% |
| ADX / DI 방향성 period=25, threshold=25 |
1.9% | -23.7% | 0.29 | 0.08 | 1.4x | 38 | 13% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=15, mult=4 |
1.8% | -15.3% | 0.28 | 0.12 | 1.3x | 22 | 13% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.6% | -49.0% | 0.06 | -0.01 | 0.9x | 139 | 56% |
| MACD fast=14, slow=22, signal=14 |
-2.3% | -63.4% | -0.03 | -0.04 | 0.7x | 263 | 51% |
| Buy and hold | 10.7% | -50.1% | 0.50 | 0.21 | 5.2x | 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 90-day average
- Sell — Sell (to cash) when the 52-day average falls below the 90-day average