Trend-Following Backtester · Guide · backtest 한국어
equity · BE
MONTEA NV backtest
10 trend-following strategies were compared on the full daily history of MONTEA NV. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.6%, MDD -37.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.5%, drawdown -58.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.1%, MDD -41.9%, Sharpe 0.36, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 4.6%, MDD -37.8%, exposure 53%).
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=47, slow=150 |
5.1% | -41.9% | 0.36 | 0.12 | 2.7x | 24 | 60% |
| Donchian 채널 돌파 entryN=72, exitN=66 |
4.6% | -37.8% | 0.36 | 0.12 | 2.4x | 26 | 53% |
| SMA 크로스오버 fast=34, slow=207 |
5.0% | -41.9% | 0.35 | 0.12 | 2.6x | 26 | 60% |
| ROC 모멘텀 n=201, threshold=-0.09 |
4.3% | -39.4% | 0.31 | 0.11 | 2.3x | 53 | 77% |
| ADX / DI 방향성 period=38, threshold=24 |
0.6% | -11.0% | 0.16 | 0.06 | 1.1x | 12 | 4% |
| Supertrend period=8, mult=4.8 |
0.7% | -50.5% | 0.13 | 0.01 | 1.2x | 54 | 58% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=3.5 |
-0.5% | -29.8% | -0.01 | -0.02 | 0.9x | 40 | 15% |
| 볼린저 밴드 돌파 n=23, k=3.3 |
-0.4% | -16.2% | -0.04 | -0.02 | 0.9x | 18 | 4% |
| MACD fast=30, slow=62, signal=38 |
-2.3% | -48.7% | -0.06 | -0.05 | 0.6x | 135 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.3% | -59.5% | -0.11 | -0.06 | 0.5x | 154 | 57% |
| Buy and hold | 4.5% | -58.8% | 0.30 | 0.08 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 150-day EMA
- Sell — Sell when the 47-day EMA falls below the 150-day EMA