Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Electro Optic Systems Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Electro Optic Systems Holdings Limited. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 27.4%, MDD -46.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.6%, drawdown -97.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.4%, MDD -46.5%, Sharpe 0.80, 20% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 28.7%, MDD -68.8%, exposure 27%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 27.4%, MDD -46.5%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=40, exitN=7 |
27.4% | -46.5% | 0.80 | 0.59 | 515.9x | 132 | 20% |
| 볼린저 밴드 돌파 n=31, k=1.9 |
28.7% | -68.8% | 0.77 | 0.42 | 665.2x | 136 | 27% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=35, mult=2.4 |
26.8% | -52.2% | 0.75 | 0.51 | 453.9x | 130 | 27% |
| Parabolic SAR step=0.01, maxStep=0.34 |
26.7% | -80.7% | 0.70 | 0.33 | 444.9x | 244 | 44% |
| ADX / DI 방향성 period=30, threshold=16 |
24.0% | -71.8% | 0.67 | 0.33 | 255.3x | 142 | 31% |
| EMA 크로스오버 fast=32, slow=291 |
17.2% | -75.1% | 0.56 | 0.23 | 59.1x | 29 | 53% |
| SMA 크로스오버 fast=6, slow=210 |
16.5% | -74.1% | 0.55 | 0.22 | 51.4x | 74 | 50% |
| ROC 모멘텀 n=143, threshold=0.11 |
15.6% | -66.8% | 0.54 | 0.23 | 42.2x | 170 | 40% |
| Supertrend period=6, mult=4.1 |
9.9% | -90.6% | 0.44 | 0.11 | 11.3x | 180 | 52% |
| MACD fast=17, slow=38, signal=23 |
7.9% | -92.7% | 0.41 | 0.08 | 7.1x | 288 | 50% |
| Buy and hold | 11.6% | -97.8% | 0.53 | 0.12 | 17.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 40 days
- Sell — Sell when price breaks below the lowest low of the last 7 days