Trend-Following Backtester · Guide · backtest 한국어
equity · FR
SCOR SE backtest
10 trend-following strategies were compared on the full daily history of SCOR SE. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -8.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.7%, drawdown -96.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.4%, MDD -47.0%, Sharpe 0.22, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 49.6%p (CAGR 0.3%, MDD -8.9%, exposure 1%).
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=62, slow=120 |
2.4% | -47.0% | 0.22 | 0.05 | 1.9x | 43 | 54% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
1.3% | -17.8% | 0.20 | 0.07 | 1.4x | 14 | 8% |
| SMA 크로스오버 fast=51, slow=277 |
1.3% | -50.9% | 0.16 | 0.02 | 1.4x | 31 | 54% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=15, mult=3.2 |
0.6% | -24.9% | 0.12 | 0.02 | 1.2x | 20 | 3% |
| ADX / DI 방향성 period=21, threshold=38 |
0.3% | -8.9% | 0.09 | 0.03 | 1.1x | 8 | 1% |
| Donchian 채널 돌파 entryN=112, exitN=69 |
-0.3% | -42.7% | 0.07 | -0.01 | 0.9x | 35 | 42% |
| Supertrend period=22, mult=3.8 |
-5.6% | -86.8% | -0.11 | -0.06 | 0.2x | 129 | 58% |
| ROC 모멘텀 n=102, threshold=-0.03 |
-5.4% | -82.6% | -0.13 | -0.06 | 0.2x | 309 | 61% |
| MACD fast=13, slow=46, signal=9 |
-10.5% | -96.2% | -0.26 | -0.11 | 0.1x | 459 | 52% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-9.9% | -96.0% | -0.26 | -0.10 | 0.1x | 481 | 53% |
| Buy and hold | -6.7% | -96.6% | 0.01 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 62-day EMA crosses above the 120-day EMA
- Sell — Sell when the 62-day EMA falls below the 120-day EMA