Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Evolution AB backtest
10 trend-following strategies were compared on the full daily history of Evolution AB. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 38.6%, MDD -34.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 39.7%, drawdown -69.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 38.6%, MDD -34.2%, Sharpe 1.18, 57% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 38.6%, MDD -36.2%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 35.0%p (CAGR 38.6%, MDD -34.2%, exposure 57%).
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=18, slow=109 |
38.6% | -34.2% | 1.18 | 1.13 | 41.9x | 23 | 57% |
| EMA 크로스오버 fast=43, slow=58 |
38.6% | -36.2% | 1.16 | 1.07 | 42.1x | 23 | 61% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=18, mult=2.9 |
31.4% | -30.3% | 1.13 | 1.03 | 22.7x | 31 | 43% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
31.2% | -30.8% | 1.11 | 1.01 | 22.3x | 47 | 42% |
| Donchian 채널 돌파 entryN=77, exitN=73 |
34.8% | -46.3% | 1.08 | 0.75 | 30.7x | 13 | 58% |
| Supertrend period=24, mult=5 |
32.5% | -53.7% | 1.06 | 0.60 | 25.0x | 29 | 55% |
| ROC 모멘텀 n=87, threshold=0.14 |
30.5% | -34.2% | 1.06 | 0.89 | 21.0x | 61 | 43% |
| ADX / DI 방향성 period=34, threshold=13 |
27.5% | -39.7% | 0.99 | 0.69 | 16.2x | 79 | 46% |
| Parabolic SAR step=0.015, maxStep=0.12 |
13.5% | -76.1% | 0.57 | 0.18 | 4.3x | 185 | 53% |
| MACD fast=19, slow=48, signal=24 |
6.1% | -82.0% | 0.35 | 0.07 | 2.0x | 111 | 52% |
| Buy and hold | 39.7% | -69.2% | 1.00 | 0.57 | 46.1x | 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 18-day average price crosses above the 109-day average
- Sell — Sell (to cash) when the 18-day average falls below the 109-day average