Trend-Following Backtester · Guide · backtest 한국어
equity · US
East West Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of East West Bancorp, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -54.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -92.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.0%, MDD -47.3%, Sharpe 0.51, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.0%, MDD -54.9%, exposure 82%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 45.2%p (CAGR 12.0%, MDD -54.9%, exposure 82%).
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=39, slow=149 |
11.0% | -47.3% | 0.51 | 0.23 | 17.7x | 41 | 65% |
| Donchian 채널 돌파 entryN=16, exitN=74 |
12.0% | -54.9% | 0.49 | 0.22 | 22.5x | 71 | 82% |
| SMA 크로스오버 fast=55, slow=154 |
10.5% | -57.8% | 0.47 | 0.18 | 15.6x | 51 | 63% |
| ADX / DI 방향성 period=33, threshold=17 |
6.4% | -37.6% | 0.40 | 0.17 | 5.4x | 117 | 26% |
| ROC 모멘텀 n=147, threshold=-0.04 |
7.5% | -84.6% | 0.39 | 0.09 | 7.3x | 181 | 70% |
| Supertrend period=11, mult=3.7 |
7.0% | -56.2% | 0.37 | 0.12 | 6.5x | 139 | 58% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
2.8% | -21.8% | 0.34 | 0.13 | 2.1x | 18 | 8% |
| MACD fast=18, slow=40, signal=22 |
5.7% | -78.5% | 0.33 | 0.07 | 4.6x | 286 | 50% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=16, mult=4 |
3.6% | -41.3% | 0.30 | 0.09 | 2.6x | 71 | 30% |
| Parabolic SAR step=0.015, maxStep=0.1 |
0.8% | -86.1% | 0.17 | 0.01 | 1.2x | 455 | 55% |
| Buy and hold | 12.8% | -92.5% | 0.49 | 0.14 | 27.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 149-day EMA
- Sell — Sell when the 39-day EMA falls below the 149-day EMA