Trend-Following Backtester · Guide · backtest 한국어
equity · JP
EXEO Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of EXEO Group, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -56.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.0%, drawdown -79.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -56.3%, Sharpe 0.48, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 8.6%, MDD -56.3%, 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=37, slow=169 |
8.6% | -56.3% | 0.48 | 0.15 | 8.2x | 37 | 58% |
| EMA 크로스오버 fast=36, slow=85 |
5.9% | -61.9% | 0.38 | 0.10 | 4.3x | 66 | 58% |
| Donchian 채널 돌파 entryN=143, exitN=66 |
5.1% | -67.5% | 0.35 | 0.07 | 3.5x | 30 | 47% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=9, mult=3.5 |
3.0% | -37.8% | 0.31 | 0.08 | 2.2x | 66 | 20% |
| 볼린저 밴드 돌파 n=51, k=2.7 |
2.4% | -38.5% | 0.25 | 0.06 | 1.8x | 60 | 21% |
| ROC 모멘텀 n=143, threshold=0.03 |
3.0% | -74.7% | 0.24 | 0.04 | 2.1x | 236 | 53% |
| ADX / DI 방향성 period=31, threshold=17 |
2.1% | -55.3% | 0.23 | 0.04 | 1.7x | 92 | 20% |
| Supertrend period=13, mult=5 |
2.1% | -61.6% | 0.20 | 0.03 | 1.7x | 92 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.2% | -79.6% | 0.04 | -0.02 | 0.7x | 344 | 52% |
| MACD fast=13, slow=33, signal=18 |
-2.6% | -75.8% | -0.03 | -0.03 | 0.5x | 347 | 51% |
| Buy and hold | 6.0% | -79.5% | 0.34 | 0.08 | 4.4x | 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 37-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 37-day average falls below the 169-day average