Trend-Following Backtester · Guide · backtest 한국어
equity · QA
Estithmar Holding Q.P.S.C backtest
10 trend-following strategies were compared on the full daily history of Estithmar Holding Q.P.S.C. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.6%, MDD -26.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.9%, drawdown -54.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.6%, MDD -26.1%, Sharpe 1.07, 25% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.6%, MDD -38.3%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 23.6%, MDD -26.1%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=2.4 |
23.6% | -26.1% | 1.07 | 0.90 | 6.8x | 36 | 25% |
| Supertrend period=12, mult=1.3 |
24.5% | -41.2% | 1.00 | 0.59 | 7.3x | 158 | 48% |
| Donchian 채널 돌파 entryN=16, exitN=19 |
24.6% | -38.3% | 0.93 | 0.64 | 7.3x | 44 | 60% |
| EMA 크로스오버 fast=49, slow=153 |
23.8% | -41.6% | 0.90 | 0.57 | 6.9x | 9 | 54% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=27, mult=4 |
16.8% | -33.0% | 0.89 | 0.51 | 4.1x | 20 | 16% |
| MACD fast=19, slow=22, signal=20 |
21.2% | -48.7% | 0.87 | 0.43 | 5.7x | 96 | 48% |
| ROC 모멘텀 n=132, threshold=0 |
22.0% | -41.6% | 0.85 | 0.53 | 6.1x | 51 | 52% |
| SMA 크로스오버 fast=42, slow=213 |
21.7% | -41.6% | 0.85 | 0.52 | 5.9x | 9 | 54% |
| Parabolic SAR step=0.05, maxStep=0.16 |
18.3% | -50.8% | 0.79 | 0.36 | 4.6x | 254 | 49% |
| ADX / DI 방향성 period=4, threshold=35 |
14.8% | -49.0% | 0.68 | 0.30 | 3.5x | 285 | 38% |
| Buy and hold | 22.9% | -54.8% | 0.76 | 0.42 | 6.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 32-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 32-day middle average