Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Embracer Group AB Class B backtest
10 trend-following strategies were compared on the full daily history of Embracer Group AB Class B. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.9%, MDD -54.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.8%, drawdown -94.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.0%, MDD -55.0%, Sharpe 0.75, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 18.9%, MDD -54.8%, exposure 43%).
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=47, slow=98 |
24.0% | -55.0% | 0.75 | 0.44 | 8.1x | 13 | 49% |
| ROC 모멘텀 n=105, threshold=0.09 |
21.4% | -55.0% | 0.71 | 0.39 | 6.5x | 41 | 44% |
| SMA 크로스오버 fast=22, slow=99 |
20.5% | -74.5% | 0.67 | 0.27 | 6.1x | 21 | 54% |
| ADX / DI 방향성 period=28, threshold=15 |
18.9% | -54.8% | 0.66 | 0.35 | 5.4x | 61 | 43% |
| Donchian 채널 돌파 entryN=87, exitN=58 |
16.5% | -64.0% | 0.60 | 0.26 | 4.4x | 11 | 47% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=4 |
6.9% | -28.6% | 0.39 | 0.24 | 1.9x | 18 | 16% |
| Supertrend period=8, mult=3 |
7.3% | -84.2% | 0.39 | 0.09 | 2.0x | 59 | 51% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
6.9% | -74.4% | 0.37 | 0.09 | 1.9x | 67 | 41% |
| Parabolic SAR step=0.015, maxStep=0.32 |
0.9% | -88.5% | 0.24 | 0.01 | 1.1x | 167 | 51% |
| MACD fast=26, slow=40, signal=23 |
-0.2% | -76.1% | 0.21 | -0.00 | 1.0x | 87 | 48% |
| Buy and hold | 9.8% | -94.5% | 0.47 | 0.10 | 2.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 98-day EMA
- Sell — Sell when the 47-day EMA falls below the 98-day EMA