Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Empire Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Empire Co Ltd Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.8%, MDD -31.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -52.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -31.8%, Sharpe 0.49, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.5%, MDD -51.1%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 20.7%p (CAGR 7.8%, MDD -31.8%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=111 |
7.8% | -31.8% | 0.49 | 0.24 | 10.7x | 75 | 61% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
9.5% | -51.1% | 0.48 | 0.19 | 17.7x | 5 | 100% |
| EMA 크로스오버 fast=53, slow=282 |
6.1% | -37.3% | 0.38 | 0.16 | 6.4x | 37 | 73% |
| Donchian 채널 돌파 entryN=77, exitN=84 |
5.8% | -46.9% | 0.38 | 0.12 | 5.9x | 43 | 69% |
| 볼린저 밴드 돌파 n=72, k=3.3 |
2.5% | -31.5% | 0.30 | 0.08 | 2.2x | 40 | 19% |
| Supertrend period=18, mult=4.5 |
2.6% | -43.3% | 0.23 | 0.06 | 2.2x | 109 | 57% |
| ADX / DI 방향성 period=65, threshold=16 |
1.5% | -26.3% | 0.20 | 0.06 | 1.6x | 48 | 16% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=3.9 |
0.7% | -51.5% | 0.12 | 0.01 | 1.2x | 62 | 21% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.6% | -82.9% | -0.16 | -0.06 | 0.2x | 258 | 56% |
| MACD fast=16, slow=53, signal=16 |
-7.5% | -93.5% | -0.35 | -0.08 | 0.1x | 400 | 50% |
| Buy and hold | 10.0% | -52.5% | 0.50 | 0.19 | 20.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 52-day average falls below the 111-day average