Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ALSOK CO., LTD. backtest
10 trend-following strategies were compared on the full daily history of ALSOK CO., LTD.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.2%, MDD -46.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.5%, drawdown -69.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -46.0%, Sharpe 0.41, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 6.2%, MDD -46.0%, exposure 54%).
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=64, slow=93 |
6.2% | -46.0% | 0.41 | 0.14 | 4.2x | 38 | 54% |
| SMA 크로스오버 fast=34, slow=175 |
5.9% | -50.8% | 0.40 | 0.12 | 3.9x | 34 | 54% |
| ADX / DI 방향성 period=27, threshold=24 |
2.8% | -18.7% | 0.36 | 0.15 | 1.9x | 34 | 9% |
| Donchian 채널 돌파 entryN=90, exitN=62 |
4.3% | -40.8% | 0.33 | 0.11 | 2.7x | 36 | 47% |
| ROC 모멘텀 n=141, threshold=-0.1 |
4.9% | -60.3% | 0.33 | 0.08 | 3.1x | 135 | 76% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=8, mult=3.7 |
2.6% | -24.8% | 0.30 | 0.11 | 1.8x | 40 | 15% |
| 볼린저 밴드 돌파 n=29, k=3.1 |
2.1% | -26.9% | 0.28 | 0.08 | 1.6x | 44 | 12% |
| Supertrend period=4, mult=5 |
0.8% | -67.0% | 0.14 | 0.01 | 1.2x | 91 | 55% |
| MACD fast=26, slow=52, signal=23 |
-1.1% | -62.9% | 0.04 | -0.02 | 0.8x | 191 | 54% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-4.8% | -74.1% | -0.17 | -0.06 | 0.3x | 391 | 51% |
| Buy and hold | 5.5% | -69.7% | 0.33 | 0.08 | 3.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 64-day EMA crosses above the 93-day EMA
- Sell — Sell when the 64-day EMA falls below the 93-day EMA