Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Redcare Pharmacy N.V. backtest
10 trend-following strategies were compared on the full daily history of Redcare Pharmacy N.V.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.9%, MDD -22.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.1%, drawdown -87.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.8%, MDD -44.5%, Sharpe 0.74, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 12.9%, MDD -22.8%, exposure 11%).
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=19, slow=122 |
21.8% | -44.5% | 0.74 | 0.49 | 5.9x | 13 | 42% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
12.9% | -22.8% | 0.70 | 0.57 | 3.0x | 6 | 11% |
| SMA 크로스오버 fast=8, slow=148 |
18.5% | -51.7% | 0.66 | 0.36 | 4.6x | 21 | 43% |
| Donchian 채널 돌파 entryN=113, exitN=66 |
16.8% | -45.6% | 0.64 | 0.37 | 4.0x | 9 | 37% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=20, mult=2.3 |
12.5% | -35.3% | 0.56 | 0.36 | 2.9x | 33 | 29% |
| ADX / DI 방향성 period=16, threshold=29 |
10.1% | -32.8% | 0.55 | 0.31 | 2.4x | 36 | 17% |
| ROC 모멘텀 n=107, threshold=0.05 |
12.4% | -57.7% | 0.51 | 0.21 | 2.9x | 51 | 40% |
| Supertrend period=17, mult=3.5 |
6.0% | -74.4% | 0.35 | 0.08 | 1.7x | 47 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.1% | -69.3% | 0.30 | 0.06 | 1.4x | 79 | 50% |
| MACD fast=12, slow=34, signal=19 |
-2.2% | -69.0% | 0.16 | -0.03 | 0.8x | 122 | 54% |
| Buy and hold | 5.1% | -87.5% | 0.37 | 0.06 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 122-day EMA
- Sell — Sell when the 19-day EMA falls below the 122-day EMA