Trend-Following Backtester · Guide · backtest 한국어
equity · BE
MONTEA NV backtest
10 trend-following strategies were compared on the full daily history of MONTEA NV. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.6%, MDD -37.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.0%, drawdown -58.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.3%, MDD -41.9%, Sharpe 0.37, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 4.6%, MDD -37.8%, exposure 52%).
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=48, slow=153 |
5.3% | -41.9% | 0.37 | 0.13 | 2.8x | 22 | 60% |
| SMA 크로스오버 fast=35, slow=202 |
5.1% | -41.9% | 0.36 | 0.12 | 2.7x | 24 | 59% |
| Donchian 채널 돌파 entryN=73, exitN=65 |
4.6% | -37.8% | 0.36 | 0.12 | 2.5x | 26 | 52% |
| ROC 모멘텀 n=5, threshold=0.13 |
0.7% | -2.9% | 0.32 | 0.23 | 1.1x | 8 | 0% |
| ADX / DI 방향성 period=25, threshold=39 |
0.4% | -5.2% | 0.21 | 0.07 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=15, k=3.4 |
0.1% | -1.4% | 0.16 | 0.10 | 1.0x | 2 | 0% |
| Supertrend period=8, mult=4.8 |
0.7% | -50.5% | 0.13 | 0.01 | 1.2x | 54 | 58% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=28, mult=2.4 |
0.2% | -34.9% | 0.08 | 0.01 | 1.0x | 68 | 33% |
| Parabolic SAR step=0.015, maxStep=0.04 |
-1.8% | -41.7% | -0.03 | -0.04 | 0.7x | 220 | 56% |
| MACD fast=31, slow=69, signal=25 |
-3.1% | -52.2% | -0.11 | -0.06 | 0.5x | 158 | 53% |
| Buy and hold | 4.0% | -58.8% | 0.28 | 0.07 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 153-day EMA
- Sell — Sell when the 48-day EMA falls below the 153-day EMA