Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fidelity National Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fidelity National Financial, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.5%, MDD -59.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -75.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.5%, MDD -59.0%, Sharpe 0.32, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 16.3%p (CAGR 4.5%, MDD -59.0%, exposure 61%).
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=166 |
4.5% | -59.0% | 0.32 | 0.08 | 2.5x | 30 | 61% |
| SMA 크로스오버 fast=26, slow=207 |
4.2% | -58.6% | 0.30 | 0.07 | 2.3x | 32 | 59% |
| Donchian 채널 돌파 entryN=19, exitN=85 |
4.1% | -64.5% | 0.28 | 0.06 | 2.3x | 49 | 83% |
| Supertrend period=10, mult=4.3 |
3.8% | -53.2% | 0.28 | 0.07 | 2.2x | 73 | 61% |
| ADX / DI 방향성 period=39, threshold=27 |
0.8% | -11.2% | 0.25 | 0.07 | 1.2x | 6 | 4% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
0.7% | -11.2% | 0.23 | 0.07 | 1.2x | 6 | 4% |
| ROC 모멘텀 n=80, threshold=-0.03 |
0.8% | -61.5% | 0.15 | 0.01 | 1.2x | 202 | 68% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=36, mult=3.5 |
0.7% | -17.1% | 0.14 | 0.04 | 1.1x | 28 | 7% |
| MACD fast=16, slow=23, signal=16 |
-1.0% | -60.5% | 0.08 | -0.02 | 0.8x | 314 | 51% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-6.9% | -81.8% | -0.18 | -0.08 | 0.2x | 472 | 54% |
| Buy and hold | 5.8% | -75.2% | 0.33 | 0.08 | 3.2x | 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 166-day EMA
- Sell — Sell when the 36-day EMA falls below the 166-day EMA