Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Morepen Laboratories Limited backtest
10 trend-following strategies were compared on the full daily history of Morepen Laboratories Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.5%, MDD -64.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.0%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.2%, MDD -79.5%, Sharpe 0.68, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 9.5%, MDD -64.5%, exposure 10%).
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=55, slow=218 |
20.2% | -79.5% | 0.68 | 0.25 | 281.3x | 27 | 41% |
| ROC 모멘텀 n=133, threshold=0.04 |
15.2% | -76.7% | 0.56 | 0.20 | 76.0x | 181 | 39% |
| EMA 크로스오버 fast=43, slow=107 |
15.1% | -89.9% | 0.56 | 0.17 | 74.4x | 37 | 45% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=2.4 |
9.5% | -64.5% | 0.48 | 0.15 | 16.0x | 119 | 10% |
| Donchian 채널 돌파 entryN=109, exitN=77 |
11.3% | -88.7% | 0.48 | 0.13 | 26.9x | 31 | 43% |
| MACD fast=4, slow=31, signal=6 |
11.6% | -80.8% | 0.47 | 0.14 | 29.2x | 921 | 45% |
| 볼린저 밴드 돌파 n=11, k=1.5 |
9.5% | -76.6% | 0.43 | 0.12 | 16.2x | 505 | 28% |
| Parabolic SAR step=0.035, maxStep=0.12 |
6.8% | -91.3% | 0.37 | 0.07 | 7.4x | 683 | 47% |
| Supertrend period=15, mult=3.4 |
6.8% | -86.3% | 0.37 | 0.08 | 7.6x | 161 | 41% |
| ADX / DI 방향성 period=32, threshold=15 |
3.4% | -95.6% | 0.28 | 0.04 | 2.8x | 143 | 40% |
| Buy and hold | 5.0% | -98.8% | 0.37 | 0.05 | 4.5x | 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 55-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 55-day average falls below the 218-day average