Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Pearl Global Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Pearl Global Industries Limited. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.4%, MDD -53.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.8%, drawdown -92.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.4%, MDD -53.8%, Sharpe 0.74, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 22.4%, MDD -53.8%, exposure 59%).
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=71, slow=295 |
22.4% | -53.8% | 0.74 | 0.42 | 51.2x | 9 | 59% |
| SMA 크로스오버 fast=38, slow=259 |
19.3% | -55.5% | 0.66 | 0.35 | 31.1x | 23 | 62% |
| Supertrend period=12, mult=2.5 |
16.4% | -67.7% | 0.59 | 0.24 | 19.3x | 113 | 53% |
| ADX / DI 방향성 period=26, threshold=25 |
8.4% | -51.6% | 0.46 | 0.16 | 4.8x | 35 | 18% |
| 볼린저 밴드 돌파 n=49, k=1.7 |
9.5% | -72.1% | 0.44 | 0.13 | 5.8x | 99 | 38% |
| Parabolic SAR step=0.01, maxStep=0.2 |
9.3% | -68.3% | 0.42 | 0.14 | 5.7x | 240 | 49% |
| Donchian 채널 돌파 entryN=33, exitN=78 |
8.9% | -81.4% | 0.41 | 0.11 | 5.3x | 33 | 73% |
| ROC 모멘텀 n=114, threshold=-0.03 |
8.9% | -66.0% | 0.41 | 0.13 | 5.2x | 181 | 64% |
| MACD fast=17, slow=55, signal=12 |
6.3% | -78.6% | 0.35 | 0.08 | 3.3x | 242 | 50% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=1.8 |
6.1% | -72.8% | 0.35 | 0.08 | 3.2x | 83 | 34% |
| Buy and hold | 11.8% | -92.2% | 0.47 | 0.13 | 8.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 71-day EMA crosses above the 295-day EMA
- Sell — Sell when the 71-day EMA falls below the 295-day EMA