Trend-Following Backtester · Guide · backtest 한국어
equity · TW
President Chain Store Corporation backtest
10 trend-following strategies were compared on the full daily history of President Chain Store Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.0%, MDD -43.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -60.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.0%, MDD -43.5%, Sharpe 0.34, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 16.6%p (CAGR 5.0%, MDD -43.5%, exposure 56%).
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=78, slow=177 |
5.0% | -43.5% | 0.34 | 0.11 | 3.6x | 26 | 56% |
| Donchian 채널 돌파 entryN=105, exitN=53 |
4.0% | -43.6% | 0.31 | 0.09 | 2.8x | 35 | 40% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.08 |
4.7% | -60.8% | 0.31 | 0.08 | 3.3x | 11 | 100% |
| SMA 크로스오버 fast=15, slow=188 |
3.9% | -44.3% | 0.30 | 0.09 | 2.8x | 53 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=3.6 |
1.1% | -35.1% | 0.15 | 0.03 | 1.3x | 52 | 19% |
| ADX / DI 방향성 period=26, threshold=23 |
0.8% | -28.4% | 0.13 | 0.03 | 1.2x | 60 | 14% |
| Supertrend period=23, mult=4.9 |
0.5% | -61.2% | 0.12 | 0.01 | 1.1x | 71 | 55% |
| MACD fast=32, slow=67, signal=68 |
0.3% | -60.3% | 0.11 | 0.01 | 1.1x | 125 | 52% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
0.1% | -33.7% | 0.07 | 0.00 | 1.0x | 38 | 15% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-7.0% | -86.3% | -0.29 | -0.08 | 0.1x | 190 | 50% |
| Buy and hold | 5.1% | -60.1% | 0.32 | 0.08 | 3.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 78-day EMA crosses above the 177-day EMA
- Sell — Sell when the 78-day EMA falls below the 177-day EMA