Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Elia Group SA/NV backtest
10 trend-following strategies were compared on the full daily history of Elia Group SA/NV. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.6%, MDD -31.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -61.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.6%, MDD -31.9%, Sharpe 0.46, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 29.6%p (CAGR 6.6%, MDD -31.9%, exposure 67%).
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=42, slow=256 |
6.6% | -31.9% | 0.46 | 0.21 | 3.8x | 17 | 67% |
| SMA 크로스오버 fast=62, slow=345 |
6.2% | -31.8% | 0.44 | 0.19 | 3.5x | 15 | 66% |
| ROC 모멘텀 Hold-like · Exposure 97% n=39, threshold=-0.14 |
6.2% | -56.1% | 0.39 | 0.11 | 3.5x | 37 | 97% |
| Donchian 채널 돌파 entryN=10, exitN=31 |
2.8% | -47.3% | 0.24 | 0.06 | 1.8x | 114 | 76% |
| Supertrend period=16, mult=4 |
2.5% | -52.1% | 0.24 | 0.05 | 1.7x | 86 | 59% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
1.3% | -25.9% | 0.20 | 0.05 | 1.3x | 24 | 9% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=3.9 |
1.1% | -33.6% | 0.17 | 0.03 | 1.3x | 38 | 12% |
| ADX / DI 방향성 period=39, threshold=14 |
-0.8% | -45.5% | -0.01 | -0.02 | 0.8x | 104 | 28% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.4% | -59.2% | -0.01 | -0.02 | 0.7x | 186 | 53% |
| MACD fast=17, slow=33, signal=15 |
-2.9% | -74.7% | -0.12 | -0.04 | 0.5x | 290 | 50% |
| Buy and hold | 7.5% | -61.6% | 0.44 | 0.12 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 256-day EMA
- Sell — Sell when the 42-day EMA falls below the 256-day EMA