Trend-Following Backtester · Guide · backtest 한국어

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Ebara Corporation backtest

10 trend-following strategies were compared on the full daily history of Ebara Corporation. 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 7.8%, MDD -48.0%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,632 (26.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 6.1%, drawdown -91.0%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -48.0%, Sharpe 0.42, 42% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 7.8%, MDD -48.0%, exposure 42%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=127, exitN=78
7.8%-48.0%0.420.167.3x2942%
EMA 크로스오버
fast=25, slow=125
6.8%-62.0%0.380.115.7x5952%
볼린저 밴드 돌파
n=55, k=2.7
5.1%-34.3%0.370.153.8x4820%
SMA 크로스오버
fast=16, slow=103
5.8%-62.5%0.340.094.4x8354%
Parabolic SAR
step=0.02, maxStep=0.16
5.0%-54.2%0.320.093.7x50453%
ROC 모멘텀
n=60, threshold=0.04
4.2%-59.2%0.290.073.0x31647%
Keltner 채널 돌파
emaPeriod=100, atrPeriod=9, mult=1.2
3.5%-66.7%0.260.052.5x16648%
Supertrend
period=26, mult=3.3
2.6%-62.4%0.230.042.0x20452%
ADX / DI 방향성
period=26, threshold=17
1.2%-53.4%0.160.021.4x14425%
MACD
fast=9, slow=34, signal=8
-1.1%-86.9%0.09-0.010.7x52851%
Buy and hold6.1%-91.0%0.350.074.8x1100%
1x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -68% -91% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -48.0% (2010-04-05 → 2012-11-05), recovered after 1,141 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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