Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chailease Holding Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chailease Holding Co. Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.6%, MDD -33.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -63.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.6%, MDD -33.4%, Sharpe 0.71, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 29.9%p (CAGR 13.6%, MDD -33.4%, exposure 59%).
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=59, slow=73 |
13.6% | -33.4% | 0.71 | 0.41 | 6.5x | 21 | 59% |
| Donchian 채널 돌파 entryN=107, exitN=35 |
10.0% | -26.0% | 0.64 | 0.39 | 4.0x | 22 | 37% |
| SMA 크로스오버 fast=57, slow=122 |
11.2% | -36.2% | 0.62 | 0.31 | 4.7x | 29 | 56% |
| Parabolic SAR step=0.015, maxStep=0.12 |
11.0% | -59.3% | 0.61 | 0.18 | 4.6x | 206 | 55% |
| ROC 모멘텀 n=145, threshold=-0.04 |
10.8% | -39.0% | 0.58 | 0.28 | 4.5x | 69 | 64% |
| Supertrend period=11, mult=3.4 |
10.8% | -54.4% | 0.58 | 0.20 | 4.5x | 77 | 60% |
| 볼린저 밴드 돌파 n=60, k=2.5 |
7.3% | -29.8% | 0.55 | 0.25 | 2.8x | 30 | 29% |
| ADX / DI 방향성 period=45, threshold=14 |
6.6% | -37.2% | 0.49 | 0.18 | 2.6x | 50 | 29% |
| MACD fast=7, slow=54, signal=17 |
6.2% | -42.2% | 0.41 | 0.15 | 2.4x | 214 | 50% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=22, mult=3.2 |
5.0% | -28.5% | 0.38 | 0.17 | 2.0x | 48 | 32% |
| Buy and hold | 15.3% | -63.3% | 0.63 | 0.24 | 8.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 73-day EMA
- Sell — Sell when the 59-day EMA falls below the 73-day EMA