Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Eris Lifesciences Ltd backtest
10 trend-following strategies were compared on the full daily history of Eris Lifesciences Ltd. 2 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 9.8%, MDD -23.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.3%, drawdown -56.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -23.8%, Sharpe 0.64, 32% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.3%, MDD -44.5%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 9.8%, MDD -23.8%, exposure 32%).
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=82, exitN=22 |
9.8% | -23.8% | 0.64 | 0.41 | 2.3x | 14 | 32% |
| SMA 크로스오버 fast=32, slow=75 |
10.3% | -44.5% | 0.56 | 0.23 | 2.4x | 31 | 53% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
5.4% | -14.0% | 0.52 | 0.39 | 1.6x | 8 | 12% |
| Supertrend period=17, mult=5 |
9.1% | -38.5% | 0.49 | 0.24 | 2.2x | 13 | 59% |
| EMA 크로스오버 fast=36, slow=80 |
8.3% | -39.4% | 0.49 | 0.21 | 2.1x | 19 | 52% |
| ROC 모멘텀 n=85, threshold=0.06 |
6.3% | -28.9% | 0.42 | 0.22 | 1.7x | 70 | 39% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=2.4 |
4.6% | -26.1% | 0.37 | 0.18 | 1.5x | 22 | 24% |
| Parabolic SAR step=0.02, maxStep=0.22 |
1.0% | -42.8% | 0.16 | 0.02 | 1.1x | 194 | 52% |
| MACD fast=11, slow=13, signal=7 |
-0.4% | -42.1% | 0.09 | -0.01 | 1.0x | 222 | 49% |
| ADX / DI 방향성 period=30, threshold=26 |
0.3% | -16.8% | 0.07 | 0.02 | 1.0x | 8 | 8% |
| Buy and hold | 9.3% | -56.2% | 0.44 | 0.17 | 2.2x | 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 82 days
- Sell — Sell when price breaks below the lowest low of the last 22 days