Trend-Following Backtester · Guide · backtest 한국어
equity · EG
El Sewedy Electric Company backtest
10 trend-following strategies were compared on the full daily history of El Sewedy Electric Company. 6 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 27.5%, MDD -41.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 22.3%, drawdown -79.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.5%, MDD -41.0%, Sharpe 1.07, 41% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 29.5%, MDD -53.7%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 27.5%, MDD -41.0%, exposure 41%).
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=100, exitN=44 |
27.5% | -41.0% | 1.07 | 0.67 | 138.0x | 21 | 41% |
| SMA 크로스오버 fast=32, slow=116 |
29.5% | -53.7% | 1.01 | 0.55 | 186.9x | 39 | 58% |
| ROC 모멘텀 n=114, threshold=0.03 |
26.3% | -52.1% | 0.95 | 0.51 | 113.4x | 137 | 55% |
| EMA 크로스오버 fast=20, slow=123 |
26.8% | -62.0% | 0.94 | 0.43 | 121.9x | 35 | 59% |
| Parabolic SAR step=0.04, maxStep=0.12 |
23.6% | -50.3% | 0.90 | 0.47 | 72.5x | 468 | 53% |
| Supertrend period=10, mult=4.7 |
23.3% | -57.5% | 0.85 | 0.41 | 70.1x | 59 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.9 |
18.7% | -51.6% | 0.84 | 0.36 | 32.4x | 55 | 36% |
| 볼린저 밴드 돌파 n=51, k=2.3 |
16.4% | -52.1% | 0.77 | 0.31 | 21.5x | 65 | 32% |
| ADX / DI 방향성 period=27, threshold=33 |
11.4% | -28.1% | 0.74 | 0.40 | 8.8x | 19 | 17% |
| MACD fast=10, slow=20, signal=5 |
11.8% | -65.9% | 0.54 | 0.18 | 9.5x | 499 | 49% |
| Buy and hold | 22.3% | -79.6% | 0.71 | 0.28 | 58.9x | 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 100 days
- Sell — Sell when price breaks below the lowest low of the last 44 days