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 25.8%, MDD -41.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 20.6%, drawdown -79.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.8%, MDD -41.0%, Sharpe 1.03, 41% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 27.7%, MDD -53.7%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 25.8%, 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 |
25.8% | -41.0% | 1.03 | 0.63 | 101.9x | 21 | 41% |
| SMA 크로스오버 fast=32, slow=116 |
27.7% | -53.7% | 0.97 | 0.52 | 138.0x | 39 | 58% |
| ROC 모멘텀 n=114, threshold=0.03 |
24.6% | -52.1% | 0.91 | 0.47 | 83.8x | 137 | 54% |
| EMA 크로스오버 fast=20, slow=123 |
25.0% | -62.0% | 0.90 | 0.40 | 90.0x | 35 | 59% |
| Parabolic SAR step=0.04, maxStep=0.12 |
22.1% | -50.3% | 0.86 | 0.44 | 55.7x | 465 | 52% |
| Supertrend period=10, mult=4.7 |
21.6% | -57.5% | 0.81 | 0.38 | 51.8x | 59 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.9 |
17.0% | -51.6% | 0.79 | 0.33 | 23.9x | 55 | 35% |
| 볼린저 밴드 돌파 n=51, k=2.3 |
14.7% | -52.1% | 0.72 | 0.28 | 15.9x | 65 | 32% |
| ADX / DI 방향성 period=27, threshold=33 |
10.7% | -28.1% | 0.71 | 0.38 | 7.7x | 18 | 17% |
| MACD fast=10, slow=20, signal=5 |
11.8% | -65.9% | 0.55 | 0.18 | 9.6x | 495 | 48% |
| Buy and hold | 20.6% | -79.6% | 0.67 | 0.26 | 43.5x | 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