Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Mouwasat Medical Services Co. backtest
10 trend-following strategies were compared on the full daily history of Mouwasat Medical Services Co.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.5%, MDD -35.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.9%, drawdown -58.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.5%, MDD -35.3%, Sharpe 0.54, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 23.2%p (CAGR 10.5%, MDD -35.3%, exposure 65%).
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=7, slow=200 |
10.5% | -35.3% | 0.54 | 0.30 | 5.2x | 44 | 65% |
| Donchian 채널 돌파 entryN=94, exitN=74 |
8.8% | -34.3% | 0.50 | 0.26 | 4.0x | 22 | 59% |
| SMA 크로스오버 fast=50, slow=95 |
9.0% | -31.8% | 0.49 | 0.28 | 4.2x | 44 | 61% |
| ADX / DI 방향성 period=65, threshold=16 |
6.6% | -34.7% | 0.47 | 0.19 | 2.9x | 24 | 34% |
| ROC 모멘텀 n=140, threshold=-0.04 |
5.7% | -63.6% | 0.35 | 0.09 | 2.5x | 117 | 72% |
| Supertrend period=23, mult=5 |
4.2% | -58.9% | 0.29 | 0.07 | 2.0x | 57 | 63% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=9, mult=3.1 |
2.4% | -28.5% | 0.27 | 0.09 | 1.5x | 38 | 13% |
| 볼린저 밴드 돌파 n=75, k=3.3 |
1.9% | -21.5% | 0.22 | 0.09 | 1.4x | 14 | 12% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.3% | -68.8% | -0.05 | -0.05 | 0.6x | 193 | 53% |
| MACD fast=16, slow=21, signal=14 |
-4.9% | -72.5% | -0.14 | -0.07 | 0.4x | 267 | 50% |
| Buy and hold | 13.9% | -58.5% | 0.58 | 0.24 | 8.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 200-day EMA
- Sell — Sell when the 7-day EMA falls below the 200-day EMA