Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Prio SA backtest
10 trend-following strategies were compared on the full daily history of Prio SA. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.4%, MDD -30.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.2%, drawdown -99.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 38.7%, MDD -78.8%, Sharpe 0.99, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 32.4%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 21.4%, MDD -30.8%, exposure 22%).
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=90, slow=197 |
38.7% | -78.8% | 0.99 | 0.49 | 173.2x | 5 | 54% |
| 볼린저 밴드 돌파 n=40, k=2.1 |
30.0% | -46.1% | 0.98 | 0.65 | 62.5x | 60 | 33% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=3.7 |
23.8% | -36.4% | 0.91 | 0.65 | 28.9x | 30 | 25% |
| Donchian 채널 돌파 entryN=99, exitN=11 |
21.4% | -30.8% | 0.89 | 0.70 | 21.3x | 38 | 22% |
| ROC 모멘텀 n=165, threshold=-0.02 |
30.6% | -77.9% | 0.85 | 0.39 | 67.1x | 87 | 59% |
| SMA 크로스오버 fast=29, slow=218 |
29.3% | -78.8% | 0.82 | 0.37 | 57.5x | 15 | 58% |
| ADX / DI 방향성 period=18, threshold=35 |
15.5% | -61.4% | 0.76 | 0.25 | 9.7x | 42 | 13% |
| MACD fast=10, slow=69, signal=18 |
28.3% | -88.2% | 0.73 | 0.32 | 50.6x | 157 | 52% |
| Supertrend period=15, mult=3.4 |
25.6% | -82.1% | 0.71 | 0.31 | 36.6x | 78 | 54% |
| Parabolic SAR step=0.01, maxStep=0.12 |
21.2% | -78.5% | 0.62 | 0.27 | 20.7x | 201 | 50% |
| Buy and hold | 6.2% | -99.7% | 0.42 | 0.06 | 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 90-day EMA crosses above the 197-day EMA
- Sell — Sell when the 90-day EMA falls below the 197-day EMA