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 41.1%, MDD -33.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 43.3%, drawdown -45.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 45.1%, MDD -36.9%, Sharpe 1.24, 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 41.1%, MDD -33.2%, 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 |
45.1% | -36.9% | 1.24 | 1.22 | 24.3x | 7 | 76% |
| SMA 크로스오버 fast=58, slow=217 |
42.9% | -37.7% | 1.23 | 1.14 | 21.3x | 7 | 71% |
| Donchian 채널 돌파 entryN=28, exitN=65 |
41.1% | -33.2% | 1.21 | 1.24 | 19.1x | 15 | 81% |
| Supertrend period=38, mult=4.1 |
33.4% | -28.6% | 1.17 | 1.17 | 11.8x | 35 | 60% |
| ROC 모멘텀 n=123, threshold=0.04 |
36.3% | -37.0% | 1.13 | 0.98 | 14.1x | 45 | 67% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
26.5% | -27.0% | 1.11 | 0.98 | 7.5x | 85 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=25, mult=1.2 |
25.1% | -26.6% | 1.08 | 0.95 | 6.8x | 83 | 49% |
| MACD fast=8, slow=48, signal=13 |
22.7% | -30.7% | 0.97 | 0.74 | 5.7x | 123 | 48% |
| ADX / DI 방향성 period=22, threshold=14 |
21.3% | -29.3% | 0.94 | 0.72 | 5.2x | 86 | 45% |
| Parabolic SAR step=0.015, maxStep=0.18 |
14.0% | -52.5% | 0.64 | 0.27 | 3.1x | 145 | 57% |
| Buy and hold | 43.3% | -45.9% | 1.12 | 0.94 | 21.8x | 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