Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Browave Corporation backtest
10 trend-following strategies were compared on the full daily history of Browave Corporation. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.9%, MDD -43.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 28.0%, drawdown -84.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 30.1%, MDD -55.1%, Sharpe 0.85, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 25.9%, MDD -43.5%, 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=45, slow=192 |
30.1% | -55.1% | 0.85 | 0.55 | 42.0x | 9 | 61% |
| Supertrend period=11, mult=3.8 |
26.5% | -49.5% | 0.81 | 0.53 | 28.0x | 63 | 62% |
| SMA 크로스오버 fast=9, slow=29 |
25.9% | -43.5% | 0.81 | 0.60 | 26.4x | 139 | 54% |
| MACD fast=17, slow=48, signal=9 |
22.6% | -47.7% | 0.76 | 0.47 | 18.0x | 181 | 49% |
| ROC 모멘텀 n=128, threshold=-0.03 |
25.3% | -67.0% | 0.76 | 0.38 | 24.7x | 93 | 63% |
| Donchian 채널 돌파 entryN=56, exitN=41 |
20.2% | -57.4% | 0.69 | 0.35 | 13.7x | 32 | 44% |
| Parabolic SAR step=0.01, maxStep=0.12 |
17.9% | -60.2% | 0.65 | 0.30 | 10.4x | 173 | 49% |
| ADX / DI 방향성 period=35, threshold=8 |
19.4% | -58.1% | 0.65 | 0.33 | 12.4x | 158 | 63% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=2.4 |
14.0% | -32.5% | 0.64 | 0.43 | 6.5x | 70 | 19% |
| 볼린저 밴드 돌파 n=41, k=1.4 |
16.0% | -43.3% | 0.61 | 0.37 | 8.3x | 101 | 39% |
| Buy and hold | 28.0% | -84.0% | 0.75 | 0.33 | 33.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 192-day EMA
- Sell — Sell when the 45-day EMA falls below the 192-day EMA