Trend-Following Backtester · Guide · backtest 한국어
equity · TW
China Steel Corporation backtest
10 trend-following strategies were compared on the full daily history of China Steel Corporation. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.3%, MDD -38.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.4%, drawdown -62.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.3%, MDD -38.4%, Sharpe 0.33, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 4.3%, MDD -38.4%, exposure 49%).
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=100, slow=173 |
4.3% | -38.4% | 0.33 | 0.11 | 3.1x | 20 | 49% |
| Donchian 채널 돌파 entryN=45, exitN=72 |
3.8% | -59.5% | 0.29 | 0.06 | 2.7x | 54 | 61% |
| SMA 크로스오버 fast=32, slow=117 |
3.2% | -48.0% | 0.26 | 0.07 | 2.3x | 62 | 50% |
| Supertrend period=30, mult=4.9 |
2.8% | -47.7% | 0.25 | 0.06 | 2.1x | 84 | 47% |
| MACD fast=30, slow=49, signal=27 |
2.3% | -51.4% | 0.22 | 0.04 | 1.8x | 199 | 49% |
| ADX / DI 방향성 period=36, threshold=25 |
1.2% | -29.7% | 0.17 | 0.04 | 1.4x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=26, mult=3.4 |
1.0% | -48.0% | 0.14 | 0.02 | 1.3x | 72 | 24% |
| 볼린저 밴드 돌파 n=52, k=1.5 |
0.8% | -46.6% | 0.13 | 0.02 | 1.2x | 134 | 35% |
| ROC 모멘텀 n=142, threshold=0.06 |
0.5% | -52.1% | 0.12 | 0.01 | 1.1x | 158 | 35% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.2% | -42.9% | 0.10 | 0.01 | 1.1x | 182 | 50% |
| Buy and hold | 1.4% | -62.1% | 0.18 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 100-day EMA crosses above the 173-day EMA
- Sell — Sell when the 100-day EMA falls below the 173-day EMA