Trend-Following Backtester · Guide · backtest 한국어
equity · GB
XP Power Ltd. backtest
10 trend-following strategies were compared on the full daily history of XP Power Ltd.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -34.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.1%, drawdown -93.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.2%, MDD -53.3%, Sharpe 0.70, 47% exposure.
CAGR reference leader: Supertrend — CAGR 16.6%, MDD -82.0%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 40.5%p (CAGR 10.6%, MDD -34.3%, exposure 25%).
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=52, slow=205 |
15.2% | -53.3% | 0.70 | 0.28 | 39.7x | 21 | 47% |
| Donchian 채널 돌파 entryN=150, exitN=69 |
14.8% | -63.9% | 0.69 | 0.23 | 36.6x | 21 | 44% |
| SMA 크로스오버 fast=54, slow=177 |
15.8% | -53.1% | 0.68 | 0.30 | 45.7x | 29 | 54% |
| Supertrend period=7, mult=2.4 |
16.6% | -82.0% | 0.66 | 0.20 | 54.3x | 174 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=3.9 |
10.6% | -34.3% | 0.64 | 0.31 | 13.9x | 54 | 25% |
| ROC 모멘텀 n=168, threshold=0.07 |
13.3% | -64.6% | 0.61 | 0.21 | 25.7x | 125 | 47% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
8.4% | -37.5% | 0.58 | 0.22 | 8.2x | 48 | 17% |
| ADX / DI 방향성 period=36, threshold=18 |
9.8% | -52.5% | 0.58 | 0.19 | 11.3x | 94 | 26% |
| Parabolic SAR step=0.02, maxStep=0.08 |
12.0% | -79.3% | 0.52 | 0.15 | 19.2x | 380 | 52% |
| MACD fast=16, slow=51, signal=14 |
5.8% | -85.1% | 0.34 | 0.07 | 4.4x | 270 | 52% |
| Buy and hold | 4.1% | -93.8% | 0.31 | 0.04 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 205-day EMA
- Sell — Sell when the 52-day EMA falls below the 205-day EMA