Trend-Following Backtester · Guide · backtest 한국어
equity · US
Freedom Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of Freedom Holding Corp.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 39.2%, MDD -32.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 41.4%, drawdown -45.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 43.2%, MDD -36.9%, Sharpe 1.21, 76% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 9.0%p (CAGR 39.2%, MDD -32.4%, exposure 81%).
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=62, slow=83 |
43.2% | -36.9% | 1.21 | 1.17 | 21.0x | 7 | 76% |
| SMA 크로스오버 fast=58, slow=217 |
41.0% | -37.7% | 1.20 | 1.09 | 18.4x | 7 | 71% |
| Donchian 채널 돌파 entryN=28, exitN=65 |
39.2% | -32.4% | 1.18 | 1.21 | 16.5x | 15 | 81% |
| Supertrend period=38, mult=4.1 |
31.5% | -28.6% | 1.13 | 1.10 | 10.2x | 35 | 60% |
| ROC 모멘텀 n=123, threshold=0.04 |
34.3% | -37.0% | 1.09 | 0.93 | 12.2x | 45 | 67% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
25.6% | -27.0% | 1.09 | 0.95 | 6.9x | 84 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=25, mult=1.2 |
24.2% | -25.3% | 1.06 | 0.96 | 6.3x | 82 | 49% |
| MACD fast=8, slow=48, signal=13 |
21.8% | -29.7% | 0.94 | 0.73 | 5.3x | 122 | 48% |
| ADX / DI 방향성 period=22, threshold=14 |
21.5% | -29.3% | 0.94 | 0.73 | 5.2x | 86 | 46% |
| Parabolic SAR step=0.015, maxStep=0.18 |
13.0% | -52.5% | 0.61 | 0.25 | 2.8x | 144 | 57% |
| Buy and hold | 41.4% | -45.9% | 1.09 | 0.90 | 18.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 62-day EMA crosses above the 83-day EMA
- Sell — Sell when the 62-day EMA falls below the 83-day EMA