Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Elecon Engineering Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Elecon Engineering Co. Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.1%, MDD -48.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.3%, drawdown -95.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.8%, MDD -69.2%, Sharpe 0.76, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.7%, MDD -71.2%, exposure 68%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 15.1%, MDD -48.9%, exposure 23%).
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=12, slow=31 |
23.8% | -69.2% | 0.76 | 0.34 | 70.1x | 149 | 52% |
| Donchian 채널 돌파 entryN=7, exitN=16 |
24.7% | -71.2% | 0.74 | 0.35 | 81.2x | 156 | 68% |
| MACD fast=7, slow=22, signal=19 |
22.0% | -68.4% | 0.72 | 0.32 | 52.9x | 323 | 50% |
| EMA 크로스오버 fast=12, slow=22 |
20.5% | -68.8% | 0.69 | 0.30 | 41.3x | 154 | 52% |
| ROC 모멘텀 n=17, threshold=0 |
20.0% | -75.8% | 0.67 | 0.26 | 38.1x | 426 | 53% |
| 볼린저 밴드 돌파 n=31, k=2.4 |
16.8% | -69.3% | 0.66 | 0.24 | 21.9x | 104 | 31% |
| ADX / DI 방향성 period=42, threshold=17 |
15.1% | -48.9% | 0.66 | 0.31 | 16.5x | 48 | 23% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=2.3 |
16.0% | -61.6% | 0.65 | 0.26 | 19.2x | 70 | 31% |
| Supertrend period=29, mult=2.3 |
14.4% | -76.1% | 0.55 | 0.19 | 14.6x | 176 | 48% |
| Parabolic SAR step=0.01, maxStep=0.22 |
5.5% | -84.9% | 0.40 | 0.06 | 2.9x | 254 | 50% |
| Buy and hold | 4.3% | -95.9% | 0.40 | 0.05 | 2.3x | 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 12-day average price crosses above the 31-day average
- Sell — Sell (to cash) when the 12-day average falls below the 31-day average