Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Aegis Logistics Limited backtest
10 trend-following strategies were compared on the full daily history of Aegis Logistics Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 34.2%, MDD -53.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 35.0%, drawdown -86.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 35.4%, MDD -63.4%, Sharpe 0.93, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 34.2%, MDD -53.2%, exposure 58%).
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=43, slow=146 |
35.4% | -63.4% | 0.93 | 0.56 | 1481.5x | 45 | 58% |
| EMA 크로스오버 fast=25, slow=35 |
34.2% | -53.2% | 0.92 | 0.64 | 1189.8x | 97 | 58% |
| Donchian 채널 돌파 entryN=93, exitN=51 |
31.7% | -59.7% | 0.92 | 0.53 | 759.3x | 31 | 47% |
| ADX / DI 방향성 period=36, threshold=14 |
31.8% | -52.1% | 0.91 | 0.61 | 778.1x | 121 | 47% |
| ROC 모멘텀 n=145, threshold=-0.01 |
32.9% | -68.2% | 0.87 | 0.48 | 942.3x | 163 | 63% |
| Supertrend period=18, mult=4.3 |
31.5% | -74.8% | 0.85 | 0.42 | 730.2x | 69 | 63% |
| MACD fast=18, slow=57, signal=24 |
28.4% | -60.0% | 0.82 | 0.47 | 413.2x | 202 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=1.2 |
26.4% | -62.8% | 0.80 | 0.42 | 282.0x | 165 | 46% |
| 볼린저 밴드 돌파 n=30, k=1.9 |
22.3% | -53.5% | 0.74 | 0.42 | 128.7x | 182 | 37% |
| Parabolic SAR step=0.02, maxStep=0.16 |
19.5% | -63.2% | 0.64 | 0.31 | 72.3x | 471 | 51% |
| Buy and hold | 35.0% | -86.6% | 0.83 | 0.40 | 1374.6x | 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 43-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 43-day average falls below the 146-day average