Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Akeso, Inc. backtest
10 trend-following strategies were compared on the full daily history of Akeso, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 34.0%, MDD -49.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.8%, drawdown -82.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 34.0%, MDD -49.7%, Sharpe 0.87, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 34.0%, MDD -49.7%, exposure 52%).
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=13, slow=31 |
34.0% | -49.7% | 0.87 | 0.68 | 6.4x | 52 | 52% |
| MACD fast=27, slow=38, signal=20 |
31.7% | -61.8% | 0.81 | 0.51 | 5.8x | 49 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=25, mult=3 |
12.8% | -19.9% | 0.73 | 0.64 | 2.2x | 8 | 6% |
| Supertrend period=9, mult=4.9 |
20.9% | -53.2% | 0.64 | 0.39 | 3.3x | 18 | 53% |
| ROC 모멘텀 n=108, threshold=0.02 |
20.6% | -39.8% | 0.64 | 0.52 | 3.3x | 44 | 54% |
| Donchian 채널 돌파 entryN=27, exitN=35 |
18.5% | -49.7% | 0.60 | 0.37 | 2.9x | 22 | 56% |
| EMA 크로스오버 fast=48, slow=90 |
17.5% | -54.2% | 0.58 | 0.32 | 2.8x | 12 | 56% |
| 볼린저 밴드 돌파 n=36, k=1.4 |
12.8% | -46.3% | 0.50 | 0.28 | 2.1x | 58 | 38% |
| ADX / DI 방향성 period=19, threshold=19 |
10.9% | -35.7% | 0.49 | 0.30 | 1.9x | 42 | 24% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-9.6% | -59.7% | 0.01 | -0.16 | 0.5x | 112 | 48% |
| Buy and hold | 22.8% | -82.4% | 0.65 | 0.28 | 3.7x | 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 13-day average price crosses above the 31-day average
- Sell — Sell (to cash) when the 13-day average falls below the 31-day average