Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Emera Incorporated backtest
10 trend-following strategies were compared on the full daily history of Emera Incorporated. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -41.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.0%, MDD -44.7%, Sharpe 0.42, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=7, threshold=-0.12 |
6.0% | -44.7% | 0.42 | 0.13 | 6.2x | 9 | 100% |
| SMA 크로스오버 fast=57, slow=200 |
3.4% | -46.7% | 0.31 | 0.07 | 2.9x | 39 | 64% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
0.5% | -6.5% | 0.28 | 0.08 | 1.2x | 6 | 2% |
| Donchian 채널 돌파 entryN=13, exitN=72 |
2.7% | -41.4% | 0.25 | 0.06 | 2.3x | 87 | 86% |
| EMA 크로스오버 fast=74, slow=117 |
2.4% | -50.8% | 0.24 | 0.05 | 2.1x | 45 | 68% |
| Supertrend period=29, mult=4.9 |
1.1% | -40.0% | 0.15 | 0.03 | 1.4x | 89 | 60% |
| ADX / DI 방향성 period=39, threshold=30 |
0.3% | -13.6% | 0.13 | 0.02 | 1.1x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=20, mult=3.9 |
0.1% | -5.5% | 0.06 | 0.01 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-1.0% | -50.4% | -0.02 | -0.02 | 0.7x | 268 | 56% |
| MACD fast=30, slow=52, signal=25 |
-1.5% | -49.0% | -0.07 | -0.03 | 0.6x | 245 | 51% |
| Buy and hold | 6.2% | -41.6% | 0.43 | 0.15 | 6.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than -12%
- Sell — Sell when the 7-day return drops to -12% or below