Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Eternal Limited backtest
10 trend-following strategies were compared on the full daily history of Eternal Limited. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 34.3%, MDD -16.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 20.5%, drawdown -74.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 34.3%, MDD -16.8%, Sharpe 1.49, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 44.1%, MDD -30.4%, exposure 59%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 57.2%p (CAGR 34.3%, MDD -16.8%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=3.4 |
34.3% | -16.8% | 1.49 | 2.04 | 4.5x | 7 | 37% |
| SMA 크로스오버 fast=45, slow=67 |
44.1% | -30.4% | 1.36 | 1.45 | 6.4x | 11 | 59% |
| 볼린저 밴드 돌파 n=54, k=2.3 |
32.5% | -27.8% | 1.35 | 1.17 | 4.2x | 11 | 40% |
| ROC 모멘텀 n=103, threshold=0.18 |
31.8% | -18.6% | 1.32 | 1.71 | 4.1x | 23 | 42% |
| EMA 크로스오버 fast=46, slow=141 |
34.0% | -31.9% | 1.30 | 1.06 | 4.5x | 5 | 48% |
| Donchian 채널 돌파 entryN=34, exitN=27 |
34.9% | -31.4% | 1.24 | 1.11 | 4.6x | 11 | 55% |
| Supertrend period=29, mult=3.2 |
36.6% | -29.3% | 1.18 | 1.25 | 4.9x | 19 | 61% |
| ADX / DI 방향성 period=27, threshold=22 |
18.8% | -15.3% | 1.02 | 1.23 | 2.4x | 15 | 30% |
| MACD fast=45, slow=85, signal=19 |
13.7% | -60.3% | 0.58 | 0.23 | 1.9x | 27 | 58% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.2% | -57.2% | 0.35 | 0.11 | 1.4x | 43 | 63% |
| Buy and hold | 20.5% | -74.0% | 0.64 | 0.28 | 2.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 50-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 50-day average