Trend-Following Backtester · Guide · backtest 한국어
equity · US
Visa Inc. backtest
10 trend-following strategies were compared on the full daily history of Visa Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.1%, MDD -36.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.4%, drawdown -52.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.1%, MDD -36.4%, Sharpe 0.82, 79% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 15.7%p (CAGR 16.1%, MDD -36.4%, exposure 79%).
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=61, slow=169 |
16.1% | -36.4% | 0.82 | 0.44 | 15.5x | 11 | 79% |
| SMA 크로스오버 fast=48, slow=204 |
14.9% | -36.4% | 0.78 | 0.41 | 12.8x | 19 | 75% |
| Donchian 채널 돌파 entryN=137, exitN=57 |
9.5% | -40.7% | 0.65 | 0.23 | 5.3x | 27 | 59% |
| ROC 모멘텀 n=172, threshold=0.01 |
10.0% | -37.4% | 0.60 | 0.27 | 5.8x | 107 | 76% |
| Supertrend period=10, mult=3.1 |
5.9% | -41.0% | 0.41 | 0.14 | 2.8x | 109 | 60% |
| 볼린저 밴드 돌파 n=96, k=2.1 |
3.2% | -32.9% | 0.30 | 0.10 | 1.8x | 51 | 45% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=29, mult=3.1 |
0.4% | -3.3% | 0.23 | 0.13 | 1.1x | 4 | 1% |
| ADX / DI 방향성 period=43, threshold=14 |
1.4% | -28.3% | 0.19 | 0.05 | 1.3x | 72 | 26% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.6% | -49.2% | 0.07 | -0.01 | 0.9x | 175 | 61% |
| MACD fast=30, slow=59, signal=14 |
-1.9% | -46.6% | -0.02 | -0.04 | 0.7x | 185 | 52% |
| Buy and hold | 19.4% | -52.1% | 0.77 | 0.37 | 25.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 61-day EMA crosses above the 169-day EMA
- Sell — Sell when the 61-day EMA falls below the 169-day EMA