Trend-Following Backtester · Guide · backtest 한국어
equity · US
Maase Inc. backtest
10 trend-following strategies were compared on the full daily history of Maase Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.5%, MDD -57.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.8%, drawdown -99.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.2%, MDD -71.1%, Sharpe 0.58, 46% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 53.0%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 15.5%, MDD -57.0%, exposure 40%).
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=25, slow=31 |
18.2% | -71.1% | 0.58 | 0.26 | 3.4x | 25 | 46% |
| ADX / DI 방향성 period=36, threshold=21 |
15.0% | -69.4% | 0.53 | 0.22 | 2.8x | 13 | 17% |
| SMA 크로스오버 fast=15, slow=134 |
15.5% | -57.0% | 0.53 | 0.27 | 2.9x | 19 | 40% |
| ROC 모멘텀 n=105, threshold=0.14 |
10.9% | -57.1% | 0.45 | 0.19 | 2.1x | 55 | 28% |
| Parabolic SAR step=0.035, maxStep=0.34 |
3.8% | -92.9% | 0.41 | 0.04 | 1.3x | 179 | 46% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
5.7% | -79.0% | 0.35 | 0.07 | 1.5x | 23 | 22% |
| Donchian 채널 돌파 entryN=49, exitN=22 |
2.0% | -80.4% | 0.30 | 0.02 | 1.2x | 19 | 38% |
| Supertrend period=13, mult=3.5 |
-5.7% | -92.0% | 0.24 | -0.06 | 0.6x | 36 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=2.5 |
-3.4% | -84.6% | 0.19 | -0.04 | 0.8x | 25 | 25% |
| MACD fast=20, slow=58, signal=22 |
-27.0% | -97.3% | 0.15 | -0.28 | 0.1x | 56 | 55% |
| Buy and hold | -34.8% | -99.7% | 0.18 | -0.35 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 31-day EMA
- Sell — Sell when the 25-day EMA falls below the 31-day EMA