Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Exail Technologies SA backtest
10 trend-following strategies were compared on the full daily history of Exail Technologies SA. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.9%, MDD -55.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.9%, drawdown -86.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.9%, MDD -60.4%, Sharpe 0.64, 51% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.9%, MDD -55.0%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 17.9%, MDD -55.0%, exposure 50%).
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=35, slow=158 |
17.9% | -60.4% | 0.64 | 0.30 | 78.7x | 41 | 51% |
| SMA 크로스오버 fast=51, slow=147 |
17.9% | -55.0% | 0.64 | 0.32 | 79.0x | 41 | 50% |
| 볼린저 밴드 돌파 n=75, k=3.5 |
9.9% | -36.3% | 0.60 | 0.27 | 12.3x | 18 | 12% |
| ROC 모멘텀 n=144, threshold=0 |
15.0% | -62.4% | 0.57 | 0.24 | 40.8x | 167 | 51% |
| Donchian 채널 돌파 entryN=89, exitN=52 |
13.7% | -61.0% | 0.56 | 0.22 | 30.2x | 44 | 38% |
| ADX / DI 방향성 period=47, threshold=13 |
10.4% | -39.5% | 0.54 | 0.26 | 14.0x | 112 | 24% |
| Supertrend period=6, mult=4.8 |
12.1% | -73.0% | 0.48 | 0.17 | 20.7x | 123 | 55% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=3.6 |
10.5% | -61.6% | 0.48 | 0.17 | 14.2x | 90 | 25% |
| Parabolic SAR step=0.015, maxStep=0.18 |
11.2% | -78.5% | 0.46 | 0.14 | 16.7x | 409 | 52% |
| MACD fast=17, slow=42, signal=10 |
7.6% | -83.7% | 0.37 | 0.09 | 7.1x | 375 | 50% |
| Buy and hold | 12.9% | -86.0% | 0.48 | 0.15 | 25.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 158-day EMA
- Sell — Sell when the 35-day EMA falls below the 158-day EMA