Trend-Following Backtester · Guide · backtest 한국어
equity · IN
CG Power & Industrial Solutions Ltd backtest
10 trend-following strategies were compared on the full daily history of CG Power & Industrial Solutions Ltd. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 46.2%, MDD -48.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 41.0%, drawdown -95.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 46.2%, MDD -48.7%, Sharpe 1.25, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 46.2%, MDD -48.7%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=79 |
46.2% | -48.7% | 1.25 | 0.95 | 9422.7x | 29 | 63% |
| SMA 크로스오버 fast=30, slow=161 |
45.3% | -51.5% | 1.23 | 0.88 | 8116.5x | 33 | 63% |
| ROC 모멘텀 n=96, threshold=0.09 |
39.9% | -60.5% | 1.19 | 0.66 | 3242.0x | 165 | 53% |
| Donchian 채널 돌파 entryN=81, exitN=72 |
43.6% | -63.3% | 1.19 | 0.69 | 6059.2x | 23 | 64% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=31, mult=1.8 |
36.2% | -49.2% | 1.12 | 0.74 | 1694.7x | 90 | 52% |
| Supertrend period=19, mult=4.5 |
35.0% | -71.0% | 1.03 | 0.49 | 1387.9x | 64 | 61% |
| 볼린저 밴드 돌파 n=56, k=1.9 |
29.5% | -46.0% | 1.02 | 0.64 | 502.5x | 94 | 47% |
| ADX / DI 방향성 period=34, threshold=18 |
24.8% | -33.8% | 0.96 | 0.73 | 207.9x | 96 | 33% |
| Parabolic SAR step=0.005, maxStep=0.06 |
33.6% | -64.2% | 0.49 | 0.52 | 1068.1x | 190 | 58% |
| MACD fast=31, slow=45, signal=27 |
26.7% | -84.9% | 0.43 | 0.31 | 299.0x | 178 | 53% |
| Buy and hold | 41.0% | -95.9% | 0.57 | 0.43 | 3934.3x | 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 79-day EMA
- Sell — Sell when the 52-day EMA falls below the 79-day EMA