Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Hypera S.A. backtest
10 trend-following strategies were compared on the full daily history of Hypera S.A.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -41.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.3%, drawdown -74.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.2%, MDD -49.9%, Sharpe 0.53, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 8.5%, MDD -41.7%, exposure 55%).
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=12, slow=54 |
10.2% | -49.9% | 0.53 | 0.20 | 5.9x | 85 | 56% |
| Donchian 채널 돌파 entryN=49, exitN=49 |
9.4% | -50.9% | 0.50 | 0.18 | 5.2x | 38 | 53% |
| SMA 크로스오버 fast=6, slow=69 |
8.5% | -41.7% | 0.46 | 0.21 | 4.5x | 99 | 55% |
| Supertrend period=14, mult=4.4 |
7.5% | -48.1% | 0.41 | 0.15 | 3.7x | 56 | 58% |
| ADX / DI 방향성 period=20, threshold=17 |
5.6% | -54.1% | 0.39 | 0.10 | 2.7x | 156 | 34% |
| 볼린저 밴드 돌파 n=35, k=2.9 |
3.9% | -30.5% | 0.37 | 0.13 | 2.0x | 30 | 14% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=11, mult=3.4 |
3.7% | -35.3% | 0.36 | 0.11 | 2.0x | 30 | 13% |
| MACD fast=17, slow=57, signal=19 |
2.6% | -51.3% | 0.23 | 0.05 | 1.6x | 189 | 52% |
| ROC 모멘텀 n=77, threshold=0 |
0.9% | -71.9% | 0.16 | 0.01 | 1.2x | 196 | 54% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-2.9% | -83.7% | 0.01 | -0.03 | 0.6x | 255 | 54% |
| Buy and hold | 5.3% | -74.6% | 0.33 | 0.07 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 12-day EMA crosses above the 54-day EMA
- Sell — Sell when the 12-day EMA falls below the 54-day EMA