Trend-Following Backtester · Guide · backtest 한국어
equity · US
Maase Inc. backtest
10 trend-following strategies were compared on the full daily history of Maase Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.0%, MDD -57.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.2%, drawdown -99.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.6%, MDD -71.1%, Sharpe 0.55, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 51.8%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 14.0%, MDD -57.0%, exposure 41%).
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=25, slow=31 |
16.6% | -71.1% | 0.55 | 0.23 | 3.1x | 25 | 47% |
| SMA 크로스오버 fast=15, slow=134 |
14.0% | -57.0% | 0.51 | 0.25 | 2.6x | 19 | 41% |
| ADX / DI 방향성 period=36, threshold=21 |
13.5% | -69.4% | 0.50 | 0.19 | 2.6x | 13 | 18% |
| ROC 모멘텀 n=105, threshold=0.14 |
9.5% | -57.1% | 0.42 | 0.17 | 2.0x | 55 | 29% |
| Parabolic SAR step=0.035, maxStep=0.34 |
2.6% | -92.9% | 0.39 | 0.03 | 1.2x | 180 | 45% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
3.8% | -79.0% | 0.32 | 0.05 | 1.3x | 24 | 22% |
| Donchian 채널 돌파 entryN=49, exitN=22 |
-0.4% | -80.4% | 0.26 | -0.01 | 1.0x | 20 | 39% |
| Supertrend period=13, mult=3.5 |
-5.7% | -92.0% | 0.24 | -0.06 | 0.6x | 36 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=2.5 |
-5.1% | -84.6% | 0.16 | -0.06 | 0.7x | 26 | 26% |
| MACD fast=20, slow=58, signal=22 |
-29.5% | -97.3% | 0.12 | -0.30 | 0.1x | 60 | 55% |
| Buy and hold | -35.2% | -99.7% | 0.17 | -0.35 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 31-day EMA
- Sell — Sell when the 25-day EMA falls below the 31-day EMA