Trend-Following Backtester · Guide · backtest 한국어
equity · US
Toro Company (The) backtest
10 trend-following strategies were compared on the full daily history of Toro Company (The). 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.8%, MDD -49.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -72.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.8%, MDD -49.0%, Sharpe 0.54, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 23.4%p (CAGR 9.8%, MDD -49.0%, exposure 69%).
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=64, slow=253 |
9.8% | -49.0% | 0.54 | 0.20 | 78.6x | 39 | 69% |
| SMA 크로스오버 fast=40, slow=201 |
9.0% | -59.6% | 0.51 | 0.15 | 54.3x | 65 | 63% |
| Donchian 채널 돌파 entryN=64, exitN=66 |
9.2% | -53.0% | 0.51 | 0.17 | 60.4x | 79 | 65% |
| MACD fast=39, slow=83, signal=22 |
7.7% | -49.4% | 0.46 | 0.16 | 32.0x | 283 | 51% |
| Supertrend period=20, mult=4.9 |
7.7% | -53.6% | 0.46 | 0.14 | 31.3x | 167 | 58% |
| ROC 모멘텀 n=149, threshold=0.04 |
6.8% | -46.0% | 0.43 | 0.15 | 20.9x | 307 | 58% |
| ADX / DI 방향성 period=32, threshold=17 |
3.5% | -41.4% | 0.29 | 0.08 | 5.0x | 208 | 31% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=1.1 |
3.7% | -54.6% | 0.28 | 0.07 | 5.3x | 405 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.5% | -70.3% | 0.17 | 0.02 | 2.0x | 755 | 53% |
| 볼린저 밴드 돌파 n=16, k=2.4 |
0.4% | -51.5% | 0.10 | 0.01 | 1.2x | 338 | 22% |
| Buy and hold | 11.5% | -72.3% | 0.51 | 0.16 | 155.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 64-day EMA crosses above the 253-day EMA
- Sell — Sell when the 64-day EMA falls below the 253-day EMA