Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Enghouse Systems Limited backtest
10 trend-following strategies were compared on the full daily history of Enghouse Systems Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.3%, MDD -42.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.1%, drawdown -81.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.5%, MDD -52.3%, Sharpe 0.59, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 10.3%, MDD -42.9%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=163 |
12.5% | -52.3% | 0.59 | 0.24 | 28.6x | 32 | 53% |
| EMA 크로스오버 fast=43, slow=112 |
11.9% | -44.6% | 0.58 | 0.27 | 24.6x | 40 | 52% |
| Donchian 채널 돌파 entryN=60, exitN=42 |
10.3% | -42.9% | 0.53 | 0.24 | 16.5x | 54 | 45% |
| ROC 모멘텀 n=112, threshold=0.08 |
7.7% | -46.4% | 0.44 | 0.17 | 8.2x | 176 | 40% |
| 볼린저 밴드 돌파 n=58, k=2 |
5.7% | -44.6% | 0.37 | 0.13 | 4.9x | 102 | 34% |
| MACD fast=39, slow=88, signal=94 |
5.9% | -54.8% | 0.35 | 0.11 | 5.1x | 91 | 53% |
| Supertrend period=12, mult=5 |
5.4% | -63.2% | 0.33 | 0.09 | 4.6x | 94 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=3.3 |
3.6% | -47.0% | 0.28 | 0.08 | 2.8x | 88 | 30% |
| ADX / DI 방향성 period=20, threshold=46 |
0.9% | -9.7% | 0.27 | 0.09 | 1.3x | 8 | 1% |
| Parabolic SAR step=0.01, maxStep=0.1 |
0.9% | -73.4% | 0.16 | 0.01 | 1.3x | 309 | 50% |
| Buy and hold | 5.1% | -81.1% | 0.32 | 0.06 | 4.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 56-day average falls below the 163-day average