Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Admie Holdings SA backtest
10 trend-following strategies were compared on the full daily history of Admie Holdings SA. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -44.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.1%, MDD -39.9%, Sharpe 0.56, 64% exposure.
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=48, slow=341 |
11.1% | -39.9% | 0.56 | 0.28 | 2.6x | 3 | 64% |
| 볼린저 밴드 돌파 n=25, k=3.1 |
4.3% | -12.6% | 0.54 | 0.34 | 1.5x | 10 | 7% |
| SMA 크로스오버 fast=46, slow=177 |
8.0% | -39.9% | 0.45 | 0.20 | 2.0x | 13 | 54% |
| ADX / DI 방향성 period=8, threshold=50 |
3.4% | -14.8% | 0.45 | 0.23 | 1.4x | 20 | 6% |
| ROC 모멘텀 n=148, threshold=0.12 |
5.7% | -25.7% | 0.41 | 0.22 | 1.7x | 75 | 31% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=23, mult=4 |
1.7% | -8.8% | 0.41 | 0.19 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=73, exitN=39 |
5.7% | -38.6% | 0.41 | 0.15 | 1.7x | 17 | 38% |
| Supertrend period=37, mult=3 |
4.2% | -39.6% | 0.31 | 0.11 | 1.5x | 50 | 50% |
| MACD fast=9, slow=58, signal=14 |
0.5% | -37.2% | 0.12 | 0.01 | 1.0x | 132 | 49% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-0.8% | -44.6% | 0.06 | -0.02 | 0.9x | 162 | 52% |
| Buy and hold | 7.6% | -44.3% | 0.40 | 0.17 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 341-day EMA
- Sell — Sell when the 48-day EMA falls below the 341-day EMA