Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tutor Perini Corporation backtest
10 trend-following strategies were compared on the full daily history of Tutor Perini Corporation. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -96.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.5%, MDD -82.6%, Sharpe 0.38, 54% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=46, slow=273 |
7.5% | -82.6% | 0.38 | 0.09 | 46.2x | 59 | 54% |
| Donchian 채널 돌파 entryN=12, exitN=79 |
5.9% | -92.6% | 0.35 | 0.06 | 21.3x | 193 | 80% |
| SMA 크로스오버 fast=4, slow=64 |
4.3% | -87.6% | 0.29 | 0.05 | 9.5x | 393 | 51% |
| Supertrend period=14, mult=4.5 |
2.8% | -83.3% | 0.25 | 0.03 | 4.3x | 271 | 52% |
| ADX / DI 방향성 period=33, threshold=24 |
2.7% | -45.6% | 0.25 | 0.06 | 4.2x | 86 | 10% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.7% | -83.7% | 0.22 | 0.02 | 2.5x | 383 | 51% |
| MACD fast=29, slow=57, signal=16 |
1.4% | -89.1% | 0.22 | 0.02 | 2.1x | 507 | 50% |
| ROC 모멘텀 n=131, threshold=-0.03 |
0.8% | -92.5% | 0.20 | 0.01 | 1.5x | 435 | 58% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
0.7% | -87.7% | 0.17 | 0.01 | 1.5x | 324 | 40% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=1.2 |
0.2% | -90.5% | 0.16 | 0.00 | 1.1x | 442 | 44% |
| Buy and hold | 6.8% | -96.1% | 0.38 | 0.07 | 33.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 273-day EMA
- Sell — Sell when the 46-day EMA falls below the 273-day EMA