Trend-Following Backtester · Guide · backtest 한국어
etf · CN
E FUND MANAGEMENT CO LTD backtest
10 trend-following strategies were compared on the full daily history of E FUND MANAGEMENT CO LTD. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.7%, MDD -17.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -30.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -24.9%, Sharpe 0.81, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 5.7%p (CAGR 7.7%, MDD -17.4%, exposure 42%).
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=26, slow=71 |
9.8% | -24.9% | 0.81 | 0.39 | 3.2x | 36 | 60% |
| 볼린저 밴드 돌파 n=175, k=1.7 |
9.4% | -24.9% | 0.80 | 0.38 | 3.1x | 10 | 53% |
| EMA 크로스오버 fast=22, slow=74 |
9.1% | -24.9% | 0.75 | 0.37 | 3.0x | 32 | 62% |
| Donchian 채널 돌파 entryN=95, exitN=25 |
7.7% | -17.4% | 0.73 | 0.44 | 2.5x | 22 | 42% |
| ROC 모멘텀 n=135, threshold=0.04 |
6.9% | -25.8% | 0.61 | 0.27 | 2.3x | 60 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=3.8 |
6.0% | -17.1% | 0.60 | 0.35 | 2.1x | 36 | 36% |
| ADX / DI 방향성 period=48, threshold=8 |
6.7% | -23.4% | 0.60 | 0.28 | 2.2x | 62 | 54% |
| Supertrend period=4, mult=5 |
5.8% | -25.0% | 0.55 | 0.23 | 2.0x | 52 | 58% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.9% | -23.4% | 0.41 | 0.17 | 1.6x | 80 | 49% |
| MACD fast=22, slow=58, signal=16 |
3.0% | -24.8% | 0.32 | 0.12 | 1.4x | 113 | 47% |
| Buy and hold | 10.1% | -30.6% | 0.73 | 0.33 | 3.3x | 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 26-day average price crosses above the 71-day average
- Sell — Sell (to cash) when the 26-day average falls below the 71-day average