Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Cathay Financial Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cathay Financial Holdings Co., Ltd.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -50.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.8%, drawdown -73.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.9%, MDD -50.4%, Sharpe 0.39, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 5.9%, MDD -50.4%, 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=70, slow=181 |
5.9% | -50.4% | 0.39 | 0.12 | 4.6x | 23 | 54% |
| SMA 크로스오버 fast=44, slow=212 |
5.3% | -53.6% | 0.36 | 0.10 | 3.9x | 31 | 56% |
| Donchian 채널 돌파 entryN=95, exitN=62 |
3.0% | -62.8% | 0.25 | 0.05 | 2.2x | 41 | 46% |
| Supertrend period=28, mult=5 |
0.5% | -65.1% | 0.13 | 0.01 | 1.2x | 88 | 53% |
| ROC 모멘텀 n=136, threshold=0.04 |
0.6% | -63.2% | 0.13 | 0.01 | 1.2x | 219 | 45% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=4 |
0.1% | -31.9% | 0.07 | 0.00 | 1.0x | 60 | 17% |
| 볼린저 밴드 돌파 n=25, k=2.2 |
-0.2% | -59.6% | 0.07 | -0.00 | 1.0x | 166 | 24% |
| MACD fast=19, slow=29, signal=13 |
-2.5% | -71.4% | -0.01 | -0.04 | 0.5x | 356 | 50% |
| ADX / DI 방향성 period=38, threshold=22 |
-0.8% | -37.5% | -0.04 | -0.02 | 0.8x | 35 | 8% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-3.1% | -78.5% | -0.04 | -0.04 | 0.4x | 324 | 51% |
| Buy and hold | 1.8% | -73.4% | 0.21 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 181-day EMA
- Sell — Sell when the 70-day EMA falls below the 181-day EMA