Trend-Following Backtester · Guide · backtest 한국어
equity · IN
EPL Limited backtest
10 trend-following strategies were compared on the full daily history of EPL Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.5%, MDD -43.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.8%, drawdown -88.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.5%, MDD -43.6%, Sharpe 0.57, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 13.5%, MDD -43.6%, exposure 58%).
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=69, slow=229 |
13.5% | -43.6% | 0.57 | 0.31 | 21.0x | 23 | 58% |
| Donchian 채널 돌파 entryN=69, exitN=77 |
9.1% | -58.9% | 0.44 | 0.15 | 8.2x | 29 | 59% |
| EMA 크로스오버 fast=58, slow=214 |
8.8% | -55.9% | 0.43 | 0.16 | 7.6x | 29 | 59% |
| ROC 모멘텀 n=74, threshold=-0.01 |
6.8% | -67.2% | 0.37 | 0.10 | 4.9x | 272 | 56% |
| 볼린저 밴드 돌파 n=65, k=2 |
6.3% | -48.7% | 0.36 | 0.13 | 4.3x | 81 | 35% |
| Supertrend period=20, mult=4.8 |
5.8% | -73.6% | 0.34 | 0.08 | 3.9x | 51 | 60% |
| ADX / DI 방향성 period=38, threshold=14 |
4.5% | -60.8% | 0.30 | 0.07 | 2.9x | 110 | 40% |
| MACD fast=10, slow=41, signal=13 |
4.2% | -63.6% | 0.29 | 0.07 | 2.7x | 364 | 48% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=27, mult=1.8 |
3.7% | -55.3% | 0.27 | 0.07 | 2.4x | 122 | 35% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.7% | -64.0% | 0.24 | 0.04 | 1.9x | 207 | 53% |
| Buy and hold | 8.8% | -88.6% | 0.41 | 0.10 | 7.6x | 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 69-day average price crosses above the 229-day average
- Sell — Sell (to cash) when the 69-day average falls below the 229-day average