Trend-Following Backtester · Guide · backtest 한국어
equity · US
Proto Labs, Inc. backtest
10 trend-following strategies were compared on the full daily history of Proto Labs, Inc.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.0%, MDD -61.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.2%, drawdown -91.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.3%, MDD -65.2%, Sharpe 0.48, 48% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 7.0%, MDD -61.9%, exposure 46%).
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=8, slow=183 |
10.3% | -65.2% | 0.48 | 0.16 | 4.2x | 31 | 48% |
| ADX / DI 방향성 period=51, threshold=27 |
1.7% | -6.7% | 0.47 | 0.26 | 1.3x | 2 | 2% |
| SMA 크로스오버 fast=16, slow=183 |
8.9% | -69.9% | 0.43 | 0.13 | 3.4x | 27 | 49% |
| ROC 모멘텀 n=128, threshold=0.04 |
7.0% | -61.9% | 0.38 | 0.11 | 2.7x | 121 | 46% |
| Donchian 채널 돌파 entryN=100, exitN=29 |
5.7% | -49.9% | 0.34 | 0.11 | 2.2x | 25 | 35% |
| Supertrend period=14, mult=5 |
1.6% | -71.8% | 0.21 | 0.02 | 1.3x | 43 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=3 |
2.0% | -47.6% | 0.20 | 0.04 | 1.3x | 48 | 32% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
-1.7% | -56.8% | 0.07 | -0.03 | 0.8x | 60 | 34% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-5.1% | -83.7% | 0.02 | -0.06 | 0.5x | 380 | 51% |
| MACD fast=19, slow=44, signal=19 |
-10.1% | -86.3% | -0.17 | -0.12 | 0.2x | 166 | 52% |
| Buy and hold | 7.2% | -91.2% | 0.38 | 0.08 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 183-day EMA
- Sell — Sell when the 8-day EMA falls below the 183-day EMA