Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Emeis backtest
10 trend-following strategies were compared on the full daily history of Emeis. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.3%, MDD -43.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.0%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -49.1%, Sharpe 0.65, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 25.7%p higher than buy and hold, while drawdown improves by 50.8%p (CAGR 12.3%, MDD -43.4%, exposure 63%).
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=44, slow=258 |
12.7% | -49.1% | 0.65 | 0.26 | 18.1x | 17 | 62% |
| EMA 크로스오버 fast=95, slow=111 |
12.3% | -43.4% | 0.65 | 0.28 | 16.6x | 21 | 63% |
| ROC 모멘텀 n=166, threshold=-0.04 |
-3.3% | -98.0% | 0.20 | -0.03 | 0.4x | 109 | 65% |
| Donchian 채널 돌파 entryN=86, exitN=67 |
-3.4% | -97.6% | 0.19 | -0.04 | 0.4x | 31 | 57% |
| Supertrend period=25, mult=4 |
2.5% | -93.3% | 0.18 | 0.03 | 1.8x | 109 | 60% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-2.9% | -87.9% | 0.15 | -0.03 | 0.5x | 475 | 52% |
| ADX / DI 방향성 period=22, threshold=15 |
-12.1% | -98.5% | 0.11 | -0.12 | 0.0x | 262 | 34% |
| MACD fast=19, slow=22, signal=14 |
-11.0% | -96.9% | 0.09 | -0.11 | 0.1x | 377 | 51% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
-9.2% | -97.3% | -0.06 | -0.09 | 0.1x | 62 | 27% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=2.6 |
-9.7% | -97.3% | -0.07 | -0.10 | 0.1x | 92 | 36% |
| Buy and hold | -13.0% | -99.9% | 0.15 | -0.13 | 0.0x | 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 44-day average price crosses above the 258-day average
- Sell — Sell (to cash) when the 44-day average falls below the 258-day average