Trend-Following Backtester · Guide · backtest 한국어
equity · CA
George Weston Limited backtest
10 trend-following strategies were compared on the full daily history of George Weston Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.1%, MDD -33.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -67.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.1%, MDD -33.2%, Sharpe 0.64, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 34.5%p (CAGR 10.1%, MDD -33.2%, exposure 63%).
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=32, slow=201 |
10.1% | -33.2% | 0.64 | 0.30 | 20.7x | 37 | 63% |
| Donchian 채널 돌파 entryN=97, exitN=74 |
9.1% | -24.5% | 0.62 | 0.37 | 15.5x | 37 | 55% |
| SMA 크로스오버 fast=45, slow=155 |
8.8% | -29.7% | 0.59 | 0.30 | 14.4x | 41 | 61% |
| ROC 모멘텀 n=139, threshold=0.02 |
7.9% | -44.3% | 0.54 | 0.18 | 11.1x | 165 | 58% |
| Supertrend period=11, mult=4.6 |
5.7% | -46.5% | 0.42 | 0.12 | 5.8x | 95 | 59% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=28, mult=4 |
3.9% | -27.6% | 0.37 | 0.14 | 3.3x | 66 | 32% |
| ADX / DI 방향성 period=29, threshold=33 |
1.1% | -15.5% | 0.30 | 0.07 | 1.4x | 14 | 4% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
1.9% | -27.0% | 0.30 | 0.07 | 1.8x | 40 | 11% |
| MACD fast=25, slow=73, signal=33 |
-1.2% | -78.5% | -0.01 | -0.02 | 0.7x | 241 | 48% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.7% | -87.3% | -0.22 | -0.05 | 0.2x | 299 | 53% |
| Buy and hold | 10.5% | -67.7% | 0.57 | 0.15 | 23.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 32-day EMA crosses above the 201-day EMA
- Sell — Sell when the 32-day EMA falls below the 201-day EMA