Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Great-West Lifeco Inc. backtest
10 trend-following strategies were compared on the full daily history of Great-West Lifeco Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.3%, MDD -36.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -69.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.3%, MDD -36.5%, Sharpe 0.51, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 33.3%p (CAGR 6.3%, MDD -36.5%, exposure 65%).
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=23, slow=136 |
6.3% | -36.5% | 0.51 | 0.17 | 4.3x | 47 | 65% |
| Donchian 채널 돌파 entryN=51, exitN=76 |
6.1% | -44.9% | 0.47 | 0.13 | 4.1x | 39 | 68% |
| SMA 크로스오버 fast=43, slow=217 |
5.7% | -56.6% | 0.45 | 0.10 | 3.8x | 29 | 61% |
| ROC 모멘텀 n=108, threshold=-0.03 |
5.1% | -47.2% | 0.41 | 0.11 | 3.3x | 149 | 71% |
| Supertrend period=9, mult=5 |
3.7% | -33.4% | 0.33 | 0.11 | 2.4x | 79 | 56% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.6% | -39.1% | 0.32 | 0.09 | 2.4x | 123 | 59% |
| MACD fast=28, slow=48, signal=20 |
3.5% | -44.5% | 0.31 | 0.08 | 2.3x | 200 | 51% |
| ADX / DI 방향성 period=33, threshold=32 |
0.8% | -10.6% | 0.27 | 0.07 | 1.2x | 13 | 4% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
2.0% | -36.1% | 0.22 | 0.05 | 1.6x | 129 | 45% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=13, mult=2.9 |
1.6% | -34.8% | 0.20 | 0.04 | 1.5x | 87 | 34% |
| Buy and hold | 6.7% | -69.8% | 0.40 | 0.10 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 136-day EMA
- Sell — Sell when the 23-day EMA falls below the 136-day EMA