Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
a2 Milk Company Limited backtest
10 trend-following strategies were compared on the full daily history of a2 Milk Company Limited. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.0%, MDD -69.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.3%, drawdown -90.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.0%, MDD -69.5%, Sharpe 0.67, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 22.0%, MDD -69.5%, exposure 54%).
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=48, slow=258 |
22.0% | -69.5% | 0.67 | 0.32 | 89.7x | 18 | 54% |
| SMA 크로스오버 fast=66, slow=171 |
18.9% | -80.7% | 0.58 | 0.23 | 49.6x | 32 | 56% |
| Donchian 채널 돌파 entryN=103, exitN=79 |
11.6% | -89.9% | 0.47 | 0.13 | 11.9x | 30 | 50% |
| ADX / DI 방향성 period=31, threshold=22 |
6.7% | -64.4% | 0.36 | 0.10 | 4.3x | 61 | 19% |
| ROC 모멘텀 n=132, threshold=0.13 |
-0.0% | -98.7% | 0.28 | -0.00 | 1.0x | 170 | 46% |
| Supertrend period=6, mult=4.7 |
-17.0% | -100.0% | 0.15 | -0.17 | 0.0x | 173 | 56% |
| MACD fast=13, slow=32, signal=12 |
-18.9% | -99.8% | 0.12 | -0.19 | 0.0x | 368 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
-15.5% | -100.0% | 0.00 | -0.16 | 0.0x | 106 | 37% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=2.8 |
-21.2% | -100.0% | -0.07 | -0.21 | 0.0x | 144 | 39% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-30.6% | -100.0% | -0.15 | -0.31 | 0.0x | 473 | 48% |
| Buy and hold | 14.3% | -90.0% | 0.62 | 0.16 | 20.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 258-day EMA
- Sell — Sell when the 48-day EMA falls below the 258-day EMA