Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Embla Medical hf backtest
10 trend-following strategies were compared on the full daily history of Embla Medical hf. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -55.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -59.0%, Sharpe 0.35, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=58, slow=176 |
5.5% | -59.0% | 0.35 | 0.09 | 2.3x | 24 | 56% |
| 볼린저 밴드 돌파 n=79, k=2.4 |
3.6% | -41.1% | 0.30 | 0.09 | 1.7x | 31 | 30% |
| Donchian 채널 돌파 entryN=88, exitN=60 |
2.4% | -59.4% | 0.22 | 0.04 | 1.4x | 23 | 48% |
| EMA 크로스오버 fast=55, slow=61 |
2.2% | -58.9% | 0.21 | 0.04 | 1.4x | 43 | 57% |
| Supertrend period=25, mult=3.8 |
-0.4% | -58.1% | 0.10 | -0.01 | 0.9x | 59 | 57% |
| ROC 모멘텀 n=133, threshold=0.14 |
-0.4% | -59.8% | 0.06 | -0.01 | 0.9x | 104 | 27% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=2.2 |
-2.8% | -44.2% | -0.08 | -0.06 | 0.6x | 69 | 31% |
| ADX / DI 방향성 period=35, threshold=25 |
-0.2% | -5.0% | -0.13 | -0.04 | 1.0x | 2 | 0% |
| MACD fast=24, slow=32, signal=24 |
-6.6% | -75.0% | -0.21 | -0.09 | 0.3x | 161 | 50% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-6.9% | -83.5% | -0.22 | -0.08 | 0.3x | 328 | 49% |
| Buy and hold | 8.3% | -55.4% | 0.42 | 0.15 | 3.4x | 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 58-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 58-day average falls below the 176-day average