Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Savaria Corporation backtest
10 trend-following strategies were compared on the full daily history of Savaria Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.6%, MDD -45.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.0%, drawdown -84.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -56.6%, Sharpe 0.54, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 11.6%, MDD -45.8%, exposure 50%).
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=35, slow=120 |
12.9% | -56.6% | 0.54 | 0.23 | 17.1x | 47 | 55% |
| EMA 크로스오버 fast=52, slow=94 |
12.6% | -48.0% | 0.54 | 0.26 | 16.0x | 37 | 58% |
| Donchian 채널 돌파 entryN=71, exitN=48 |
11.6% | -45.8% | 0.50 | 0.25 | 13.0x | 37 | 50% |
| 볼린저 밴드 돌파 n=78, k=3.4 |
7.6% | -41.5% | 0.46 | 0.18 | 5.6x | 24 | 23% |
| ROC 모멘텀 n=144, threshold=0.13 |
2.4% | -61.0% | 0.22 | 0.04 | 1.7x | 183 | 42% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=11, mult=3.6 |
2.1% | -80.5% | 0.21 | 0.03 | 1.6x | 75 | 41% |
| ADX / DI 방향성 period=30, threshold=22 |
1.2% | -53.8% | 0.15 | 0.02 | 1.3x | 78 | 16% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.3% | -91.9% | 0.09 | -0.03 | 0.6x | 154 | 52% |
| Supertrend period=14, mult=5 |
-9.1% | -99.3% | -0.07 | -0.09 | 0.1x | 105 | 62% |
| MACD fast=14, slow=58, signal=19 |
-23.0% | -99.8% | -0.58 | -0.23 | 0.0x | 354 | 49% |
| Buy and hold | 10.0% | -84.4% | 0.44 | 0.12 | 9.3x | 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 35-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 35-day average falls below the 120-day average