Trend-Following Backtester · Guide · backtest 한국어
equity · US
New York Times Company (The) backtest
10 trend-following strategies were compared on the full daily history of New York Times Company (The). 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -63.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -93.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -75.4%, Sharpe 0.37, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 18.0%p (CAGR 6.0%, MDD -63.5%, exposure 59%).
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=35, slow=195 |
6.2% | -75.4% | 0.37 | 0.08 | 24.4x | 90 | 60% |
| SMA 크로스오버 fast=17, slow=188 |
6.0% | -63.5% | 0.36 | 0.09 | 22.7x | 112 | 59% |
| Donchian 채널 돌파 entryN=52, exitN=96 |
5.3% | -87.5% | 0.33 | 0.06 | 15.6x | 92 | 67% |
| Supertrend period=13, mult=5 |
3.7% | -70.1% | 0.27 | 0.05 | 6.8x | 176 | 59% |
| ROC 모멘텀 n=183, threshold=0.05 |
1.9% | -88.2% | 0.20 | 0.02 | 2.8x | 429 | 52% |
| ADX / DI 방향성 period=35, threshold=38 |
0.2% | -8.6% | 0.15 | 0.02 | 1.1x | 2 | 0% |
| MACD fast=22, slow=29, signal=16 |
-0.4% | -90.4% | 0.11 | -0.00 | 0.8x | 635 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.9 |
0.0% | -82.3% | 0.10 | 0.00 | 1.0x | 290 | 36% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2.2 |
-0.6% | -85.3% | 0.07 | -0.01 | 0.7x | 266 | 38% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-5.1% | -98.0% | -0.09 | -0.05 | 0.1x | 1094 | 52% |
| Buy and hold | 7.9% | -93.4% | 0.39 | 0.09 | 58.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 195-day EMA
- Sell — Sell when the 35-day EMA falls below the 195-day EMA