Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
EBOS Group Limited backtest
10 trend-following strategies were compared on the full daily history of EBOS Group Limited. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.6%, MDD -35.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.9%, drawdown -58.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -37.5%, Sharpe 0.53, 69% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 7.6%, MDD -35.3%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=65, slow=211 |
7.9% | -37.5% | 0.53 | 0.21 | 7.6x | 18 | 69% |
| SMA 크로스오버 fast=54, slow=331 |
7.6% | -35.3% | 0.51 | 0.21 | 7.0x | 20 | 68% |
| ROC 모멘텀 n=178, threshold=-0.15 |
7.9% | -47.0% | 0.48 | 0.17 | 7.6x | 44 | 88% |
| Donchian 채널 돌파 entryN=75, exitN=78 |
3.5% | -44.2% | 0.29 | 0.08 | 2.5x | 45 | 61% |
| Supertrend period=7, mult=5 |
2.6% | -40.8% | 0.24 | 0.06 | 2.0x | 117 | 61% |
| ADX / DI 방향성 period=34, threshold=34 |
0.6% | -9.2% | 0.21 | 0.07 | 1.2x | 6 | 2% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
1.1% | -28.0% | 0.16 | 0.04 | 1.3x | 56 | 21% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=3.9 |
1.1% | -31.7% | 0.15 | 0.03 | 1.3x | 92 | 33% |
| MACD fast=18, slow=50, signal=19 |
-3.2% | -68.3% | -0.14 | -0.05 | 0.4x | 298 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-4.5% | -72.5% | -0.22 | -0.06 | 0.3x | 390 | 53% |
| Buy and hold | 6.9% | -58.8% | 0.41 | 0.12 | 5.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 65-day EMA crosses above the 211-day EMA
- Sell — Sell when the 65-day EMA falls below the 211-day EMA