Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Evolution AB backtest
10 trend-following strategies were compared on the full daily history of Evolution AB. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 37.3%, MDD -34.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 38.5%, drawdown -69.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 37.3%, MDD -34.2%, Sharpe 1.15, 57% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 37.3%, MDD -36.2%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 35.0%p (CAGR 37.3%, MDD -34.2%, exposure 57%).
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=18, slow=109 |
37.3% | -34.2% | 1.15 | 1.09 | 36.7x | 23 | 57% |
| EMA 크로스오버 fast=43, slow=58 |
37.3% | -36.2% | 1.13 | 1.03 | 36.8x | 23 | 61% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=18, mult=2.9 |
30.1% | -30.3% | 1.09 | 0.99 | 19.9x | 31 | 42% |
| 볼린저 밴드 돌파 n=51, k=1.4 |
29.9% | -30.8% | 1.08 | 0.97 | 19.5x | 47 | 42% |
| Donchian 채널 돌파 entryN=77, exitN=73 |
33.6% | -46.3% | 1.05 | 0.72 | 26.8x | 13 | 58% |
| Supertrend period=24, mult=5 |
31.2% | -53.7% | 1.03 | 0.58 | 21.9x | 29 | 55% |
| ROC 모멘텀 n=87, threshold=0.14 |
29.2% | -34.2% | 1.02 | 0.85 | 18.4x | 61 | 43% |
| ADX / DI 방향성 period=34, threshold=13 |
27.9% | -39.7% | 1.00 | 0.70 | 16.3x | 78 | 46% |
| Parabolic SAR step=0.015, maxStep=0.12 |
12.6% | -76.1% | 0.54 | 0.17 | 3.8x | 183 | 52% |
| MACD fast=19, slow=48, signal=24 |
4.9% | -82.0% | 0.31 | 0.06 | 1.7x | 111 | 52% |
| Buy and hold | 38.5% | -69.2% | 0.97 | 0.56 | 40.4x | 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 18-day average price crosses above the 109-day average
- Sell — Sell (to cash) when the 18-day average falls below the 109-day average