Trend-Following Backtester · Guide · backtest 한국어
equity · US
AT&T Inc. backtest
10 trend-following strategies were compared on the full daily history of AT&T Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.3%, drawdown -69.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.4%, MDD -72.5%, Sharpe 0.22, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=111 |
2.4% | -72.5% | 0.22 | 0.03 | 2.7x | 98 | 57% |
| Donchian 채널 돌파 entryN=102, exitN=119 |
2.2% | -76.6% | 0.21 | 0.03 | 2.5x | 46 | 60% |
| EMA 크로스오버 fast=54, slow=156 |
2.1% | -63.9% | 0.21 | 0.03 | 2.5x | 68 | 58% |
| ROC 모멘텀 n=192, threshold=0.09 |
0.2% | -59.5% | 0.09 | 0.00 | 1.1x | 290 | 37% |
| Supertrend period=17, mult=5 |
-0.9% | -72.5% | 0.03 | -0.01 | 0.7x | 143 | 53% |
| ADX / DI 방향성 period=36, threshold=25 |
-0.1% | -18.0% | -0.00 | -0.01 | 1.0x | 32 | 4% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
-0.2% | -33.3% | -0.01 | -0.01 | 0.9x | 28 | 6% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=3.9 |
-2.0% | -76.6% | -0.16 | -0.03 | 0.4x | 106 | 21% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-6.3% | -95.7% | -0.30 | -0.07 | 0.1x | 371 | 52% |
| MACD fast=17, slow=52, signal=22 |
-6.4% | -94.9% | -0.31 | -0.07 | 0.1x | 467 | 51% |
| Buy and hold | 4.3% | -69.9% | 0.29 | 0.06 | 6.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 49-day average falls below the 111-day average