Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Systex Corp backtest
10 trend-following strategies were compared on the full daily history of Systex Corp. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.1%, MDD -43.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.3%, drawdown -55.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -43.1%, Sharpe 0.55, 55% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.2%, MDD -48.3%, exposure 80%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 12.8%p (CAGR 10.1%, MDD -43.1%, exposure 55%).
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=57, slow=247 |
10.1% | -43.1% | 0.55 | 0.24 | 6.1x | 19 | 55% |
| ROC 모멘텀 n=139, threshold=-0.11 |
10.2% | -48.3% | 0.52 | 0.21 | 6.2x | 87 | 80% |
| Donchian 채널 돌파 entryN=80, exitN=60 |
8.3% | -40.3% | 0.49 | 0.21 | 4.5x | 25 | 45% |
| Supertrend period=29, mult=5 |
8.2% | -49.6% | 0.48 | 0.16 | 4.4x | 47 | 49% |
| EMA 크로스오버 fast=59, slow=204 |
7.5% | -50.8% | 0.43 | 0.15 | 3.9x | 23 | 58% |
| ADX / DI 방향성 period=40, threshold=31 |
3.2% | -21.6% | 0.38 | 0.15 | 1.8x | 6 | 6% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=17, mult=3.4 |
5.2% | -41.5% | 0.37 | 0.13 | 2.6x | 51 | 30% |
| 볼린저 밴드 돌파 n=37, k=1.3 |
4.6% | -35.0% | 0.33 | 0.13 | 2.3x | 135 | 43% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.8% | -45.2% | 0.28 | 0.08 | 2.0x | 123 | 54% |
| MACD fast=15, slow=29, signal=18 |
-0.5% | -65.3% | 0.08 | -0.01 | 0.9x | 236 | 53% |
| Buy and hold | 9.3% | -55.9% | 0.45 | 0.17 | 5.3x | 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 57-day average price crosses above the 247-day average
- Sell — Sell (to cash) when the 57-day average falls below the 247-day average