Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Great Eastern Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Great Eastern Holdings Limited. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.1%, MDD -25.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.8%, drawdown -65.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -28.0%, Sharpe 0.65, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 8.1%, MDD -25.6%, exposure 32%).
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=29, slow=87 |
9.6% | -28.0% | 0.65 | 0.34 | 11.2x | 63 | 52% |
| 볼린저 밴드 돌파 n=42, k=2.3 |
8.1% | -25.6% | 0.61 | 0.32 | 7.7x | 97 | 32% |
| Parabolic SAR step=0.005, maxStep=0.2 |
8.3% | -46.7% | 0.57 | 0.18 | 8.2x | 158 | 46% |
| MACD fast=27, slow=48, signal=33 |
7.6% | -34.9% | 0.54 | 0.22 | 6.9x | 166 | 48% |
| Donchian 채널 돌파 entryN=84, exitN=56 |
7.9% | -52.7% | 0.52 | 0.15 | 7.4x | 37 | 46% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=21, mult=2.8 |
6.3% | -52.9% | 0.44 | 0.12 | 5.0x | 75 | 42% |
| ROC 모멘텀 n=63, threshold=0 |
6.1% | -44.3% | 0.44 | 0.14 | 4.7x | 247 | 51% |
| EMA 크로스오버 fast=47, slow=49 |
6.5% | -51.8% | 0.44 | 0.12 | 5.2x | 51 | 54% |
| ADX / DI 방향성 period=37, threshold=11 |
5.3% | -53.3% | 0.38 | 0.10 | 3.9x | 161 | 49% |
| Supertrend period=19, mult=4.4 |
5.2% | -52.3% | 0.37 | 0.10 | 3.8x | 127 | 53% |
| Buy and hold | 4.8% | -65.3% | 0.33 | 0.07 | 3.4x | 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 29-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 29-day average falls below the 87-day average