Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Genus plc backtest
10 trend-following strategies were compared on the full daily history of Genus plc. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.7%, MDD -37.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.0%, drawdown -76.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.7%, MDD -37.1%, Sharpe 0.64, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 13.7%, MDD -37.1%, exposure 70%).
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=51, slow=261 |
13.7% | -37.1% | 0.64 | 0.37 | 28.5x | 12 | 70% |
| SMA 크로스오버 fast=63, slow=150 |
13.1% | -44.0% | 0.61 | 0.30 | 24.6x | 32 | 65% |
| ROC 모멘텀 n=109, threshold=-0.1 |
11.1% | -65.8% | 0.51 | 0.17 | 15.4x | 168 | 80% |
| Donchian 채널 돌파 entryN=107, exitN=133 |
10.2% | -59.7% | 0.51 | 0.17 | 12.5x | 18 | 71% |
| Supertrend period=10, mult=3.7 |
1.8% | -73.6% | 0.19 | 0.02 | 1.6x | 100 | 63% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
-0.8% | -62.4% | 0.05 | -0.01 | 0.8x | 124 | 38% |
| Parabolic SAR step=0.035, maxStep=0.12 |
-2.9% | -84.5% | -0.01 | -0.03 | 0.5x | 701 | 52% |
| MACD fast=15, slow=24, signal=14 |
-2.8% | -86.7% | -0.01 | -0.03 | 0.5x | 411 | 49% |
| ADX / DI 방향성 period=40, threshold=33 |
-0.1% | -20.6% | -0.01 | -0.00 | 1.0x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=2.3 |
-2.5% | -69.1% | -0.06 | -0.04 | 0.5x | 122 | 34% |
| Buy and hold | 10.0% | -76.5% | 0.45 | 0.13 | 12.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 261-day EMA
- Sell — Sell when the 51-day EMA falls below the 261-day EMA