Trend-Following Backtester · Guide · backtest 한국어
equity · KR
맥쿼리인프라 backtest
10 trend-following strategies were compared on the full daily history of 맥쿼리인프라. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.6%, MDD -24.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.6%, drawdown -51.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.1%, MDD -27.3%, Sharpe 0.51, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 3.6%, MDD -24.6%, 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=53, slow=59 |
4.1% | -27.3% | 0.51 | 0.15 | 2.3x | 34 | 59% |
| SMA 크로스오버 fast=13, slow=145 |
3.6% | -24.6% | 0.45 | 0.15 | 2.0x | 42 | 59% |
| Donchian 채널 돌파 entryN=56, exitN=76 |
3.3% | -27.9% | 0.41 | 0.12 | 1.9x | 32 | 61% |
| ROC 모멘텀 n=128, threshold=0.02 |
1.8% | -30.3% | 0.27 | 0.06 | 1.4x | 118 | 47% |
| Supertrend period=16, mult=4.9 |
1.9% | -29.9% | 0.26 | 0.06 | 1.5x | 58 | 56% |
| 볼린저 밴드 돌파 n=24, k=2.9 |
1.2% | -18.5% | 0.25 | 0.06 | 1.3x | 78 | 19% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=16, mult=3.9 |
1.1% | -13.5% | 0.23 | 0.08 | 1.3x | 50 | 22% |
| ADX / DI 방향성 period=22, threshold=33 |
0.8% | -11.2% | 0.21 | 0.07 | 1.2x | 40 | 14% |
| MACD fast=12, slow=34, signal=21 |
-0.6% | -27.2% | -0.01 | -0.02 | 0.9x | 219 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.7% | -51.2% | -0.24 | -0.05 | 0.6x | 138 | 55% |
| Buy and hold | 1.6% | -51.5% | 0.19 | 0.03 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 59-day EMA
- Sell — Sell when the 53-day EMA falls below the 59-day EMA