Trend-Following Backtester · Guide · backtest 한국어
equity · PL
NEUCA S.A. backtest
10 trend-following strategies were compared on the full daily history of NEUCA S.A.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.2%, MDD -36.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.2%, drawdown -70.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.2%, MDD -36.3%, Sharpe 0.77, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 16.2%, MDD -36.3%, exposure 64%).
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=59, slow=220 |
16.2% | -36.3% | 0.77 | 0.45 | 25.8x | 18 | 64% |
| Donchian 채널 돌파 entryN=90, exitN=77 |
14.2% | -40.5% | 0.71 | 0.35 | 17.9x | 26 | 61% |
| SMA 크로스오버 fast=54, slow=175 |
14.1% | -56.4% | 0.70 | 0.25 | 17.4x | 30 | 61% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=25, mult=4 |
7.5% | -14.7% | 0.67 | 0.51 | 4.8x | 34 | 14% |
| ROC 모멘텀 n=145, threshold=0.08 |
12.1% | -36.5% | 0.66 | 0.33 | 11.9x | 110 | 52% |
| 볼린저 밴드 돌파 n=48, k=3.2 |
7.7% | -28.8% | 0.61 | 0.27 | 5.0x | 40 | 19% |
| ADX / DI 방향성 period=18, threshold=22 |
5.7% | -38.2% | 0.48 | 0.15 | 3.3x | 116 | 17% |
| Supertrend period=16, mult=4.8 |
8.2% | -46.8% | 0.46 | 0.18 | 5.6x | 69 | 65% |
| MACD fast=17, slow=64, signal=22 |
6.3% | -46.9% | 0.40 | 0.13 | 3.8x | 195 | 48% |
| Parabolic SAR step=0.015, maxStep=0.12 |
4.9% | -53.9% | 0.32 | 0.09 | 2.8x | 353 | 52% |
| Buy and hold | 14.2% | -70.0% | 0.58 | 0.20 | 17.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 220-day EMA
- Sell — Sell when the 59-day EMA falls below the 220-day EMA