Trend-Following Backtester · Guide · backtest 한국어
equity · EG
Egypt Aluminum backtest
10 trend-following strategies were compared on the full daily history of Egypt Aluminum. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 21.9%, drawdown -91.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.1%, MDD -83.3%, Sharpe 0.53, 53% 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=42, slow=89 |
24.1% | -83.3% | 0.53 | 0.29 | 253.6x | 72 | 53% |
| EMA 크로스오버 fast=48, slow=60 |
23.5% | -82.4% | 0.53 | 0.29 | 225.2x | 49 | 57% |
| Donchian 채널 돌파 entryN=57, exitN=61 |
19.8% | -87.2% | 0.49 | 0.23 | 103.1x | 40 | 53% |
| ROC 모멘텀 n=122, threshold=0.07 |
15.8% | -95.4% | 0.46 | 0.17 | 43.5x | 151 | 45% |
| Parabolic SAR step=0.025, maxStep=0.32 |
13.3% | -97.1% | 0.45 | 0.14 | 24.7x | 494 | 49% |
| Supertrend period=9, mult=5 |
10.6% | -93.8% | 0.41 | 0.11 | 13.4x | 93 | 57% |
| ADX / DI 방향성 period=16, threshold=19 |
11.7% | -86.1% | 0.40 | 0.14 | 17.1x | 218 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=20, mult=3.8 |
2.7% | -95.5% | 0.31 | 0.03 | 2.0x | 66 | 27% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
2.1% | -98.6% | 0.29 | 0.02 | 1.7x | 138 | 43% |
| MACD fast=12, slow=37, signal=10 |
-5.3% | -99.2% | 0.19 | -0.05 | 0.2x | 451 | 49% |
| Buy and hold | 21.9% | -91.4% | 0.53 | 0.24 | 159.9x | 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 42-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 42-day average falls below the 89-day average