Trend-Following Backtester · Guide · backtest 한국어
equity · US
Skydance Corporation backtest
10 trend-following strategies were compared on the full daily history of Skydance Corporation. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -35.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.5%, drawdown -92.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -65.4%, Sharpe 0.48, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 3.9%, MDD -35.9%, exposure 4%).
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=77, slow=157 |
9.6% | -65.4% | 0.48 | 0.15 | 6.7x | 14 | 48% |
| SMA 크로스오버 fast=70, slow=195 |
9.2% | -73.4% | 0.46 | 0.13 | 6.2x | 18 | 46% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=9, mult=2.4 |
6.5% | -56.6% | 0.39 | 0.11 | 3.7x | 82 | 32% |
| ADX / DI 방향성 period=23, threshold=32 |
3.9% | -35.9% | 0.39 | 0.11 | 2.2x | 14 | 4% |
| Donchian 채널 돌파 entryN=115, exitN=32 |
4.9% | -61.5% | 0.34 | 0.08 | 2.7x | 32 | 31% |
| Supertrend period=17, mult=3.4 |
4.9% | -90.8% | 0.31 | 0.05 | 2.7x | 103 | 54% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
3.1% | -61.5% | 0.27 | 0.05 | 1.9x | 30 | 13% |
| ROC 모멘텀 n=108, threshold=0.09 |
2.3% | -85.5% | 0.22 | 0.03 | 1.6x | 168 | 35% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.4% | -86.2% | 0.14 | -0.00 | 0.9x | 176 | 51% |
| MACD fast=20, slow=35, signal=18 |
-4.5% | -84.7% | 0.02 | -0.05 | 0.4x | 252 | 51% |
| Buy and hold | -4.5% | -92.2% | 0.13 | -0.05 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 77-day EMA crosses above the 157-day EMA
- Sell — Sell when the 77-day EMA falls below the 157-day EMA