Trend-Following Backtester · Guide · backtest 한국어
equity · CA
5N Plus Inc. backtest
10 trend-following strategies were compared on the full daily history of 5N Plus Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.1%, MDD -49.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.4%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.4%, MDD -57.4%, Sharpe 0.66, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.9%, MDD -67.0%, exposure 75%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 16.1%, MDD -49.9%, exposure 48%).
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=44, slow=126 |
19.4% | -57.4% | 0.66 | 0.34 | 27.4x | 34 | 52% |
| Donchian 채널 돌파 entryN=20, exitN=67 |
19.9% | -67.0% | 0.63 | 0.30 | 29.8x | 40 | 75% |
| ROC 모멘텀 n=114, threshold=0.06 |
16.7% | -51.5% | 0.63 | 0.32 | 17.9x | 128 | 46% |
| Supertrend period=33, mult=5 |
18.0% | -69.1% | 0.63 | 0.26 | 22.0x | 42 | 54% |
| 볼린저 밴드 돌파 n=36, k=1.7 |
15.7% | -50.4% | 0.62 | 0.31 | 15.3x | 102 | 36% |
| EMA 크로스오버 fast=24, slow=109 |
16.1% | -49.9% | 0.60 | 0.32 | 16.2x | 46 | 48% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=1.1 |
14.4% | -62.6% | 0.56 | 0.23 | 12.5x | 108 | 43% |
| Parabolic SAR step=0.01, maxStep=0.1 |
12.4% | -66.0% | 0.49 | 0.19 | 8.8x | 204 | 50% |
| ADX / DI 방향성 period=38, threshold=23 |
6.9% | -35.7% | 0.47 | 0.19 | 3.5x | 28 | 11% |
| MACD fast=23, slow=29, signal=10 |
3.3% | -84.3% | 0.28 | 0.04 | 1.8x | 224 | 50% |
| Buy and hold | 8.4% | -92.7% | 0.43 | 0.09 | 4.5x | 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 44-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 44-day average falls below the 126-day average