Trend-Following Backtester · Guide · backtest 한국어
equity · CN
SG Micro Corp. Class A backtest
10 trend-following strategies were compared on the full daily history of SG Micro Corp. Class A. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 42.0%, drawdown -68.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 27.2%, MDD -49.5%, Sharpe 0.77, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 28.5%, MDD -68.7%, exposure 88%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=76, slow=164 |
27.2% | -49.5% | 0.77 | 0.55 | 9.2x | 9 | 57% |
| ADX / DI 방향성 period=16, threshold=26 |
21.1% | -53.0% | 0.76 | 0.40 | 5.8x | 50 | 28% |
| Donchian 채널 돌파 entryN=7, exitN=69 |
28.5% | -68.7% | 0.75 | 0.41 | 10.1x | 29 | 88% |
| Parabolic SAR step=0.005, maxStep=0.34 |
24.8% | -50.8% | 0.74 | 0.49 | 7.7x | 79 | 53% |
| MACD fast=19, slow=42, signal=16 |
21.9% | -49.9% | 0.69 | 0.44 | 6.2x | 85 | 51% |
| ROC 모멘텀 n=30, threshold=0.13 |
18.3% | -57.6% | 0.65 | 0.32 | 4.7x | 131 | 30% |
| 볼린저 밴드 돌파 n=34, k=1.2 |
19.4% | -64.4% | 0.65 | 0.30 | 5.1x | 76 | 43% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=24, mult=1.6 |
18.5% | -65.8% | 0.64 | 0.28 | 4.8x | 58 | 36% |
| SMA 크로스오버 fast=18, slow=93 |
17.1% | -76.7% | 0.59 | 0.22 | 4.3x | 33 | 55% |
| Supertrend period=25, mult=4.2 |
16.5% | -57.9% | 0.57 | 0.28 | 4.1x | 38 | 54% |
| Buy and hold | 42.0% | -68.8% | 0.92 | 0.61 | 25.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 76-day EMA crosses above the 164-day EMA
- Sell — Sell when the 76-day EMA falls below the 164-day EMA