Trend-Following Backtester · Guide · backtest 한국어
equity · US
XPO, Inc. backtest
10 trend-following strategies were compared on the full daily history of XPO, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.7%, MDD -58.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 23.1%, drawdown -82.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.7%, MDD -58.9%, Sharpe 0.71, 66% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.6%, MDD -74.1%, exposure 87%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 23.9%p (CAGR 21.7%, MDD -58.9%, exposure 66%).
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=51, slow=217 |
21.7% | -58.9% | 0.71 | 0.37 | 88.6x | 25 | 66% |
| Donchian 채널 돌파 entryN=17, exitN=87 |
23.6% | -74.1% | 0.69 | 0.32 | 126.8x | 37 | 87% |
| EMA 크로스오버 fast=9, slow=216 |
17.0% | -56.4% | 0.62 | 0.30 | 36.2x | 47 | 66% |
| ROC 모멘텀 n=74, threshold=0.01 |
17.3% | -53.2% | 0.61 | 0.33 | 38.2x | 254 | 63% |
| Supertrend period=12, mult=3 |
15.8% | -73.6% | 0.58 | 0.22 | 28.6x | 136 | 55% |
| Parabolic SAR step=0.015, maxStep=0.1 |
11.0% | -82.0% | 0.46 | 0.13 | 10.8x | 368 | 53% |
| MACD fast=12, slow=51, signal=12 |
9.5% | -86.8% | 0.42 | 0.11 | 7.9x | 328 | 49% |
| 볼린저 밴드 돌파 n=26, k=2.9 |
6.7% | -69.2% | 0.39 | 0.10 | 4.4x | 80 | 17% |
| ADX / DI 방향성 period=15, threshold=13 |
4.3% | -82.4% | 0.29 | 0.05 | 2.6x | 446 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=1.4 |
2.9% | -77.7% | 0.25 | 0.04 | 1.9x | 168 | 48% |
| Buy and hold | 23.1% | -82.8% | 0.65 | 0.28 | 115.6x | 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 51-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 51-day average falls below the 217-day average