Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fair Isaac Corporation backtest
10 trend-following strategies were compared on the full daily history of Fair Isaac Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.7%, drawdown -79.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.1%, MDD -67.9%, Sharpe 0.52, 74% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.0%, MDD -79.9%, exposure 86%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=292 |
13.1% | -67.9% | 0.52 | 0.19 | 121.9x | 40 | 74% |
| Donchian 채널 돌파 entryN=9, exitN=78 |
14.0% | -79.9% | 0.52 | 0.18 | 169.0x | 137 | 86% |
| SMA 크로스오버 fast=56, slow=217 |
11.7% | -72.0% | 0.49 | 0.16 | 73.9x | 48 | 69% |
| ROC 모멘텀 n=181, threshold=-0.01 |
9.8% | -78.0% | 0.44 | 0.13 | 39.0x | 242 | 70% |
| Parabolic SAR step=0.005, maxStep=0.36 |
9.5% | -60.0% | 0.44 | 0.16 | 35.0x | 309 | 55% |
| Supertrend period=25, mult=4.3 |
8.7% | -83.5% | 0.42 | 0.10 | 26.3x | 185 | 59% |
| MACD fast=24, slow=64, signal=21 |
5.6% | -91.2% | 0.33 | 0.06 | 8.4x | 365 | 53% |
| ADX / DI 방향성 period=32, threshold=12 |
5.4% | -74.2% | 0.32 | 0.07 | 7.7x | 360 | 47% |
| 볼린저 밴드 돌파 n=42, k=1.9 |
2.1% | -75.1% | 0.21 | 0.03 | 2.2x | 236 | 41% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=29, mult=2.7 |
0.9% | -80.6% | 0.16 | 0.01 | 1.4x | 198 | 37% |
| Buy and hold | 18.7% | -79.5% | 0.59 | 0.24 | 815.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 292-day EMA
- Sell — Sell when the 36-day EMA falls below the 292-day EMA