Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Ezdan Holding Group backtest
10 trend-following strategies were compared on the full daily history of Ezdan Holding Group. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.4%, MDD -38.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.8%, drawdown -90.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.8%, MDD -39.3%, Sharpe 0.69, 5% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 9.4%, MDD -38.6%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=6, threshold=0.11 |
10.8% | -39.3% | 0.69 | 0.27 | 5.4x | 106 | 5% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=12, mult=2.8 |
9.4% | -38.6% | 0.62 | 0.24 | 4.5x | 38 | 7% |
| 볼린저 밴드 돌파 n=29, k=2 |
10.1% | -52.7% | 0.55 | 0.19 | 4.9x | 80 | 22% |
| Supertrend period=23, mult=2.5 |
10.3% | -54.9% | 0.52 | 0.19 | 5.1x | 142 | 44% |
| Donchian 채널 돌파 entryN=114, exitN=18 |
8.0% | -65.1% | 0.52 | 0.12 | 3.6x | 18 | 10% |
| ADX / DI 방향성 period=8, threshold=35 |
6.1% | -60.2% | 0.39 | 0.10 | 2.7x | 170 | 18% |
| MACD fast=24, slow=66, signal=29 |
5.4% | -57.9% | 0.33 | 0.09 | 2.4x | 108 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
4.0% | -60.0% | 0.28 | 0.07 | 1.9x | 230 | 46% |
| EMA 크로스오버 fast=47, slow=190 |
1.9% | -74.2% | 0.19 | 0.02 | 1.4x | 14 | 28% |
| SMA 크로스오버 fast=24, slow=39 |
0.3% | -77.8% | 0.14 | 0.00 | 1.1x | 118 | 40% |
| Buy and hold | -8.8% | -90.8% | -0.06 | -0.10 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 6-day return is greater than 11%
- Sell — Sell when the 6-day return drops to 11% or below