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 26.9%, MDD -50.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.3%, drawdown -97.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 26.9%, MDD -50.6%, Sharpe 0.79, 20% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 28.2%, MDD -68.8%, exposure 27%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 26.9%, MDD -50.6%, 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 |
26.9% | -50.6% | 0.79 | 0.53 | 476.6x | 133 | 20% |
| 볼린저 밴드 돌파 n=31, k=1.9 |
28.2% | -68.8% | 0.77 | 0.41 | 614.5x | 137 | 27% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=35, mult=2.4 |
26.3% | -52.2% | 0.74 | 0.50 | 419.4x | 131 | 27% |
| Parabolic SAR step=0.01, maxStep=0.34 |
27.7% | -80.7% | 0.71 | 0.34 | 561.7x | 245 | 44% |
| ADX / DI 방향성 period=30, threshold=16 |
23.9% | -71.8% | 0.67 | 0.33 | 255.3x | 142 | 31% |
| EMA 크로스오버 fast=32, slow=291 |
18.8% | -75.1% | 0.59 | 0.25 | 86.7x | 29 | 53% |
| SMA 크로스오버 fast=6, slow=210 |
16.9% | -74.1% | 0.55 | 0.23 | 56.1x | 75 | 50% |
| ROC 모멘텀 n=143, threshold=0.11 |
15.2% | -66.8% | 0.53 | 0.23 | 39.0x | 171 | 40% |
| Supertrend period=6, mult=4.1 |
10.4% | -90.6% | 0.45 | 0.11 | 12.9x | 181 | 52% |
| MACD fast=17, slow=38, signal=23 |
8.7% | -92.7% | 0.43 | 0.09 | 8.6x | 289 | 50% |
| Buy and hold | 13.3% | -97.8% | 0.55 | 0.14 | 25.0x | 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