Trend-Following Backtester · Guide · backtest 한국어
equity · GR
ELVALHALCOR Hellenic Copper and Aluminium Industry S.A. backtest
10 trend-following strategies were compared on the full daily history of ELVALHALCOR Hellenic Copper and Aluminium Industry S.A.. 9 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 13.5%, MDD -52.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.1%, drawdown -98.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -52.4%, Sharpe 0.66, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.0%, MDD -60.3%, exposure 47%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 13.5%, MDD -52.4%, exposure 21%).
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=108, exitN=14 |
13.5% | -52.4% | 0.66 | 0.26 | 42.1x | 64 | 21% |
| SMA 크로스오버 fast=56, slow=111 |
16.0% | -60.3% | 0.60 | 0.27 | 81.1x | 65 | 47% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
13.6% | -69.3% | 0.59 | 0.20 | 43.3x | 94 | 31% |
| ROC 모멘텀 n=112, threshold=0.06 |
12.5% | -75.4% | 0.51 | 0.17 | 32.6x | 196 | 44% |
| Supertrend period=29, mult=4.5 |
11.7% | -73.2% | 0.50 | 0.16 | 26.7x | 100 | 43% |
| EMA 크로스오버 fast=55, slow=91 |
10.4% | -70.5% | 0.46 | 0.15 | 18.8x | 47 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=2.1 |
9.2% | -78.7% | 0.45 | 0.12 | 13.4x | 130 | 31% |
| Parabolic SAR step=0.005, maxStep=0.28 |
8.8% | -86.6% | 0.41 | 0.10 | 12.0x | 236 | 50% |
| ADX / DI 방향성 period=45, threshold=11 |
6.2% | -83.7% | 0.35 | 0.07 | 6.0x | 174 | 32% |
| MACD fast=20, slow=29, signal=23 |
1.6% | -83.1% | 0.22 | 0.02 | 1.6x | 320 | 51% |
| Buy and hold | 3.1% | -98.4% | 0.31 | 0.03 | 2.5x | 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 108 days
- Sell — Sell when price breaks below the lowest low of the last 14 days