Trend-Following Backtester · Guide · backtest 한국어
equity · IN
eClerx Services Limited backtest
10 trend-following strategies were compared on the full daily history of eClerx Services Limited. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 25.7%, MDD -35.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 18.5%, drawdown -83.4%).
Sharpe leader (same as main): Supertrend — CAGR 29.1%, MDD -43.3%, Sharpe 0.97, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 25.7%, MDD -35.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=4.9 |
29.1% | -43.3% | 0.97 | 0.67 | 119.4x | 29 | 59% |
| Donchian 채널 돌파 entryN=86, exitN=51 |
25.7% | -35.3% | 0.97 | 0.73 | 73.2x | 25 | 50% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=7, mult=1.7 |
22.0% | -47.4% | 0.87 | 0.46 | 41.7x | 72 | 45% |
| EMA 크로스오버 fast=10, slow=107 |
24.1% | -47.1% | 0.87 | 0.51 | 56.9x | 61 | 60% |
| ROC 모멘텀 n=70, threshold=0 |
23.4% | -53.0% | 0.86 | 0.44 | 51.9x | 165 | 58% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
21.7% | -52.0% | 0.85 | 0.42 | 39.4x | 100 | 47% |
| SMA 크로스오버 fast=11, slow=80 |
21.3% | -61.5% | 0.81 | 0.35 | 37.2x | 77 | 56% |
| ADX / DI 방향성 period=31, threshold=13 |
16.2% | -68.5% | 0.67 | 0.24 | 16.8x | 141 | 54% |
| MACD fast=16, slow=49, signal=15 |
10.6% | -61.3% | 0.49 | 0.17 | 6.6x | 214 | 50% |
| Parabolic SAR step=0.025, maxStep=0.14 |
5.4% | -73.9% | 0.33 | 0.07 | 2.7x | 406 | 52% |
| Buy and hold | 18.5% | -83.4% | 0.63 | 0.22 | 24.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)