Trend-Following Backtester · Guide · backtest 한국어
equity · SG
AEM Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of AEM Holdings Ltd.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.4%, MDD -53.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.1%, drawdown -97.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.8%, MDD -68.3%, Sharpe 0.75, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 16.4%, MDD -53.1%, exposure 32%).
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=31, slow=193 |
26.8% | -68.3% | 0.75 | 0.39 | 439.1x | 37 | 47% |
| Donchian 채널 돌파 entryN=105, exitN=63 |
25.8% | -66.1% | 0.74 | 0.39 | 355.1x | 33 | 39% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=25, mult=4 |
13.9% | -71.1% | 0.69 | 0.20 | 28.2x | 44 | 9% |
| EMA 크로스오버 fast=47, slow=91 |
24.3% | -78.4% | 0.69 | 0.31 | 263.9x | 53 | 49% |
| 볼린저 밴드 돌파 n=38, k=3.4 |
14.6% | -65.4% | 0.69 | 0.22 | 32.6x | 42 | 13% |
| ROC 모멘텀 n=123, threshold=0.13 |
21.0% | -70.1% | 0.65 | 0.30 | 132.8x | 195 | 36% |
| ADX / DI 방향성 period=28, threshold=20 |
16.4% | -53.1% | 0.57 | 0.31 | 48.6x | 102 | 32% |
| Supertrend period=31, mult=4 |
17.3% | -89.8% | 0.55 | 0.19 | 59.7x | 122 | 46% |
| Parabolic SAR step=0.02, maxStep=0.36 |
10.3% | -95.5% | 0.44 | 0.11 | 12.3x | 386 | 48% |
| MACD fast=23, slow=54, signal=24 |
5.4% | -98.4% | 0.39 | 0.06 | 3.9x | 232 | 51% |
| Buy and hold | 13.1% | -97.6% | 0.54 | 0.13 | 23.6x | 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 31-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 31-day average falls below the 193-day average