Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Warehouses De Pauw SA backtest
10 trend-following strategies were compared on the full daily history of Warehouses De Pauw SA. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.7%, MDD -41.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -56.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.7%, MDD -41.0%, Sharpe 0.57, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 9.7%, MDD -41.0%, exposure 72%).
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=88, slow=221 |
9.7% | -41.0% | 0.57 | 0.24 | 10.0x | 8 | 72% |
| SMA 크로스오버 fast=46, slow=173 |
7.0% | -41.0% | 0.46 | 0.17 | 5.4x | 32 | 69% |
| ROC 모멘텀 n=194, threshold=-0.09 |
6.6% | -54.9% | 0.41 | 0.12 | 4.9x | 79 | 82% |
| Supertrend period=23, mult=4.7 |
2.2% | -47.8% | 0.21 | 0.05 | 1.7x | 78 | 63% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
0.8% | -17.7% | 0.16 | 0.04 | 1.2x | 34 | 8% |
| Donchian 채널 돌파 entryN=70, exitN=60 |
1.0% | -40.8% | 0.14 | 0.02 | 1.3x | 50 | 57% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.6% | -71.4% | -0.13 | -0.05 | 0.4x | 205 | 58% |
| MACD fast=18, slow=35, signal=18 |
-3.7% | -72.6% | -0.14 | -0.05 | 0.4x | 329 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=2.5 |
-2.1% | -56.0% | -0.17 | -0.04 | 0.6x | 114 | 22% |
| ADX / DI 방향성 period=28, threshold=38 |
-0.3% | -8.5% | -0.28 | -0.04 | 0.9x | 4 | 1% |
| Buy and hold | 7.8% | -56.8% | 0.42 | 0.14 | 6.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 88-day EMA crosses above the 221-day EMA
- Sell — Sell when the 88-day EMA falls below the 221-day EMA