Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trex Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Trex Company, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.5%, MDD -60.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.5%, drawdown -90.5%).
Sharpe leader (same as main): Supertrend — CAGR 11.1%, MDD -68.1%, Sharpe 0.47, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 22.4%p (CAGR 10.5%, MDD -60.0%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=3.2 |
11.1% | -68.1% | 0.47 | 0.16 | 17.8x | 185 | 54% |
| ROC 모멘텀 n=98, threshold=-0.03 |
11.0% | -74.4% | 0.46 | 0.15 | 17.5x | 207 | 64% |
| EMA 크로스오버 fast=64, slow=97 |
10.5% | -60.0% | 0.45 | 0.17 | 15.3x | 47 | 61% |
| Parabolic SAR step=0.01, maxStep=0.16 |
9.1% | -75.3% | 0.42 | 0.12 | 11.0x | 350 | 52% |
| SMA 크로스오버 fast=22, slow=187 |
8.4% | -64.5% | 0.40 | 0.13 | 9.2x | 59 | 59% |
| Donchian 채널 돌파 entryN=13, exitN=69 |
7.7% | -90.1% | 0.39 | 0.09 | 7.7x | 81 | 80% |
| MACD fast=24, slow=123, signal=17 |
5.7% | -90.9% | 0.34 | 0.06 | 4.6x | 198 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=1.4 |
2.1% | -77.6% | 0.22 | 0.03 | 1.8x | 204 | 45% |
| 볼린저 밴드 돌파 n=55, k=1.2 |
1.4% | -83.5% | 0.20 | 0.02 | 1.4x | 166 | 44% |
| ADX / DI 방향성 period=19, threshold=9 |
-0.2% | -94.8% | 0.18 | -0.00 | 0.9x | 464 | 54% |
| Buy and hold | 13.5% | -90.5% | 0.51 | 0.15 | 31.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)