Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Worldline SA backtest
10 trend-following strategies were compared on the full daily history of Worldline SA. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.3%, MDD -10.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -19.6%, drawdown -98.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.5%, MDD -49.7%, Sharpe 0.43, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.1%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 0.3%, MDD -10.3%, exposure 3%).
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=53, slow=200 |
7.5% | -49.7% | 0.43 | 0.15 | 2.4x | 8 | 51% |
| SMA 크로스오버 fast=40, slow=183 |
4.9% | -49.9% | 0.32 | 0.10 | 1.8x | 16 | 47% |
| ADX / DI 방향성 period=38, threshold=18 |
2.5% | -33.6% | 0.25 | 0.07 | 1.3x | 32 | 21% |
| Donchian 채널 돌파 entryN=101, exitN=53 |
1.5% | -54.6% | 0.17 | 0.03 | 1.2x | 16 | 37% |
| 볼린저 밴드 돌파 n=35, k=3.4 |
0.9% | -21.6% | 0.15 | 0.04 | 1.1x | 8 | 6% |
| ROC 모멘텀 n=51, threshold=-0.01 |
-0.6% | -69.1% | 0.09 | -0.01 | 0.9x | 156 | 50% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=4 |
0.3% | -10.3% | 0.09 | 0.03 | 1.0x | 6 | 3% |
| Supertrend period=13, mult=4.8 |
-3.0% | -76.5% | -0.02 | -0.04 | 0.7x | 36 | 47% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-15.6% | -94.6% | -0.44 | -0.16 | 0.1x | 299 | 50% |
| MACD fast=12, slow=28, signal=13 |
-21.2% | -97.8% | -0.47 | -0.22 | 0.1x | 203 | 50% |
| Buy and hold | -19.6% | -98.9% | -0.18 | -0.20 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 200-day EMA
- Sell — Sell when the 53-day EMA falls below the 200-day EMA