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; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -20.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.7%, drawdown -90.8%).
Sharpe leader (same as main): Supertrend — CAGR 11.2%, MDD -51.9%, Sharpe 0.55, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 2.4%, MDD -20.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=2.6 |
11.2% | -51.9% | 0.55 | 0.22 | 5.8x | 132 | 42% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=3.5 |
7.6% | -40.0% | 0.54 | 0.19 | 3.3x | 28 | 6% |
| ROC 모멘텀 n=26, threshold=0.09 |
9.4% | -53.3% | 0.54 | 0.18 | 4.4x | 146 | 16% |
| Donchian 채널 돌파 entryN=113, exitN=11 |
7.7% | -57.2% | 0.52 | 0.14 | 3.4x | 22 | 8% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
8.0% | -61.0% | 0.48 | 0.13 | 3.6x | 50 | 17% |
| ADX / DI 방향성 period=37, threshold=36 |
2.4% | -20.1% | 0.40 | 0.12 | 1.5x | 4 | 2% |
| Parabolic SAR step=0.045, maxStep=0.38 |
2.2% | -67.9% | 0.21 | 0.03 | 1.4x | 488 | 45% |
| SMA 크로스오버 fast=34, slow=281 |
2.2% | -72.4% | 0.21 | 0.03 | 1.4x | 16 | 28% |
| EMA 크로스오버 fast=55, slow=172 |
1.5% | -74.4% | 0.18 | 0.02 | 1.3x | 14 | 29% |
| MACD fast=12, slow=71, signal=19 |
1.0% | -77.6% | 0.17 | 0.01 | 1.2x | 176 | 50% |
| Buy and hold | -8.7% | -90.8% | -0.06 | -0.10 | 0.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)