Trend-Following Backtester · Guide · backtest 한국어
equity · US
Service Corporation International backtest
10 trend-following strategies were compared on the full daily history of Service Corporation International. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.2%, MDD -43.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.2%, drawdown -96.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.9%, MDD -44.6%, Sharpe 0.64, 76% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.3%, MDD -55.5%, exposure 80%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 12.2%, MDD -43.5%, exposure 68%).
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=74, slow=202 |
13.9% | -44.6% | 0.64 | 0.31 | 422.5x | 33 | 76% |
| ROC 모멘텀 n=169, threshold=-0.09 |
14.3% | -55.5% | 0.64 | 0.26 | 491.9x | 175 | 80% |
| SMA 크로스오버 fast=35, slow=205 |
12.2% | -43.5% | 0.59 | 0.28 | 212.9x | 67 | 68% |
| Supertrend period=16, mult=5 |
11.1% | -63.4% | 0.54 | 0.18 | 133.9x | 137 | 61% |
| Donchian 채널 돌파 entryN=72, exitN=54 |
10.3% | -55.4% | 0.54 | 0.19 | 93.6x | 94 | 60% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=11, mult=2.1 |
8.0% | -58.0% | 0.48 | 0.14 | 36.1x | 217 | 48% |
| 볼린저 밴드 돌파 n=76, k=1.8 |
7.4% | -59.1% | 0.45 | 0.12 | 27.0x | 175 | 45% |
| ADX / DI 방향성 period=50, threshold=22 |
2.8% | -23.8% | 0.37 | 0.12 | 3.6x | 32 | 8% |
| Parabolic SAR step=0.01, maxStep=0.14 |
4.1% | -75.1% | 0.28 | 0.06 | 6.6x | 594 | 56% |
| MACD fast=16, slow=28, signal=18 |
-1.3% | -91.0% | 0.08 | -0.01 | 0.6x | 618 | 51% |
| Buy and hold | 12.2% | -96.6% | 0.49 | 0.13 | 208.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 74-day EMA crosses above the 202-day EMA
- Sell — Sell when the 74-day EMA falls below the 202-day EMA