Trend-Following Backtester · Guide · backtest 한국어
equity · CA
EQB Inc backtest
10 trend-following strategies were compared on the full daily history of EQB Inc. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.9%, MDD -42.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.4%, drawdown -73.5%).
Sharpe leader (same as main): MACD — CAGR 13.2%, MDD -60.8%, Sharpe 0.69, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 12.7%p (CAGR 12.9%, MDD -42.7%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=23, signal=21 |
13.2% | -60.8% | 0.69 | 0.22 | 15.7x | 228 | 50% |
| 볼린저 밴드 돌파 n=19, k=2.2 |
9.3% | -33.1% | 0.65 | 0.28 | 7.3x | 166 | 31% |
| SMA 크로스오버 fast=7, slow=106 |
11.6% | -50.1% | 0.64 | 0.23 | 11.5x | 93 | 61% |
| Donchian 채널 돌파 entryN=16, exitN=36 |
12.9% | -42.7% | 0.63 | 0.30 | 14.9x | 83 | 74% |
| EMA 크로스오버 fast=16, slow=93 |
11.1% | -47.8% | 0.62 | 0.23 | 10.3x | 71 | 64% |
| Supertrend period=16, mult=3.5 |
10.6% | -44.8% | 0.58 | 0.24 | 9.4x | 141 | 58% |
| Parabolic SAR step=0.02, maxStep=0.12 |
10.8% | -59.7% | 0.57 | 0.18 | 9.8x | 372 | 55% |
| ROC 모멘텀 n=91, threshold=0.01 |
9.7% | -46.4% | 0.56 | 0.21 | 7.8x | 207 | 61% |
| ADX / DI 방향성 period=28, threshold=15 |
6.8% | -44.6% | 0.46 | 0.15 | 4.3x | 183 | 44% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=16, mult=2.7 |
5.4% | -38.4% | 0.44 | 0.14 | 3.2x | 115 | 28% |
| Buy and hold | 12.4% | -73.5% | 0.52 | 0.17 | 13.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/23) crosses above its 21-day signal line
- Sell — Sell when the MACD line crosses back below the signal line