Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Freightways Group Limited backtest
10 trend-following strategies were compared on the full daily history of Freightways Group Limited. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -32.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.4%, drawdown -45.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.7%, MDD -32.4%, Sharpe 0.53, 68% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.5%, MDD -47.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 12.6%p (CAGR 7.7%, MDD -32.4%, exposure 68%).
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=184 |
7.7% | -32.4% | 0.53 | 0.24 | 5.5x | 27 | 68% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.13 |
9.5% | -47.5% | 0.51 | 0.20 | 7.9x | 7 | 100% |
| Donchian 채널 돌파 entryN=45, exitN=118 |
7.5% | -44.5% | 0.47 | 0.17 | 5.2x | 27 | 80% |
| SMA 크로스오버 fast=42, slow=274 |
6.1% | -34.1% | 0.44 | 0.18 | 3.9x | 23 | 65% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
2.9% | -13.8% | 0.44 | 0.21 | 1.9x | 22 | 11% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=14, mult=2.9 |
3.4% | -39.7% | 0.33 | 0.08 | 2.1x | 82 | 35% |
| ADX / DI 방향성 period=26, threshold=34 |
1.3% | -8.5% | 0.32 | 0.15 | 1.3x | 8 | 4% |
| Supertrend period=10, mult=3.4 |
3.1% | -63.7% | 0.26 | 0.05 | 2.0x | 137 | 65% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.8% | -55.5% | 0.19 | 0.03 | 1.5x | 163 | 57% |
| MACD fast=36, slow=42, signal=39 |
-0.3% | -65.7% | 0.06 | -0.00 | 0.9x | 159 | 49% |
| Buy and hold | 9.4% | -45.0% | 0.50 | 0.21 | 7.8x | 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 184-day EMA
- Sell — Sell when the 52-day EMA falls below the 184-day EMA