Trend-Following Backtester · Guide · backtest 한국어
equity · US
Everpure, Inc. backtest
10 trend-following strategies were compared on the full daily history of Everpure, Inc.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.6%, MDD -51.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -69.4%).
Sharpe leader (same as main): MACD — CAGR 13.4%, MDD -52.3%, Sharpe 0.53, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.6%, MDD -51.4%, exposure 67%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 17.1%p (CAGR 13.6%, MDD -51.4%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=18, signal=14 |
13.4% | -52.3% | 0.53 | 0.26 | 3.9x | 194 | 50% |
| Donchian 채널 돌파 entryN=20, exitN=44 |
13.6% | -51.4% | 0.52 | 0.26 | 4.0x | 41 | 67% |
| Parabolic SAR step=0.07, maxStep=0.18 |
11.5% | -55.2% | 0.48 | 0.21 | 3.2x | 386 | 52% |
| SMA 크로스오버 fast=19, slow=32 |
7.2% | -45.8% | 0.37 | 0.16 | 2.1x | 93 | 55% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
4.2% | -32.9% | 0.30 | 0.13 | 1.6x | 22 | 22% |
| ROC 모멘텀 n=19, threshold=-0.04 |
2.8% | -60.5% | 0.27 | 0.05 | 1.4x | 217 | 68% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=10, mult=1.3 |
2.6% | -42.9% | 0.24 | 0.06 | 1.3x | 104 | 42% |
| Supertrend period=27, mult=3.3 |
0.3% | -56.6% | 0.18 | 0.01 | 1.0x | 76 | 52% |
| EMA 크로스오버 fast=11, slow=272 |
-1.1% | -73.5% | 0.17 | -0.01 | 0.9x | 29 | 63% |
| ADX / DI 방향성 period=23, threshold=8 |
-1.3% | -53.7% | 0.13 | -0.02 | 0.9x | 176 | 51% |
| Buy and hold | 15.0% | -69.4% | 0.53 | 0.22 | 4.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/18) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line