Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Electrical Industries Co. backtest
10 trend-following strategies were compared on the full daily history of Electrical Industries Co.. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 25.7%, MDD -32.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 24.6%, drawdown -66.6%).
Sharpe leader (same as main): Supertrend — CAGR 32.4%, MDD -48.1%, Sharpe 1.14, 64% exposure.
Return/drawdown alternative: MACD — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 25.7%, MDD -32.0%, exposure 51%).
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=22, mult=4.2 |
32.4% | -48.1% | 1.14 | 0.67 | 19.7x | 42 | 64% |
| EMA 크로스오버 fast=12, slow=88 |
30.1% | -41.2% | 1.11 | 0.73 | 16.3x | 30 | 57% |
| SMA 크로스오버 fast=10, slow=116 |
30.5% | -43.6% | 1.10 | 0.70 | 16.8x | 32 | 59% |
| Donchian 채널 돌파 entryN=16, exitN=21 |
28.6% | -32.2% | 1.08 | 0.89 | 14.4x | 56 | 59% |
| MACD fast=19, slow=66, signal=19 |
25.7% | -32.0% | 1.07 | 0.80 | 11.3x | 76 | 51% |
| ADX / DI 방향성 period=38, threshold=17 |
24.1% | -34.0% | 1.03 | 0.71 | 9.9x | 28 | 39% |
| ROC 모멘텀 n=111, threshold=0.11 |
25.0% | -35.2% | 1.02 | 0.71 | 10.7x | 44 | 43% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=25, mult=3.2 |
22.4% | -25.6% | 1.02 | 0.87 | 8.5x | 32 | 36% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
24.3% | -31.7% | 1.01 | 0.77 | 10.0x | 52 | 47% |
| Parabolic SAR step=0.03, maxStep=0.3 |
13.5% | -50.3% | 0.63 | 0.27 | 3.8x | 243 | 53% |
| Buy and hold | 24.6% | -66.6% | 0.79 | 0.37 | 10.3x | 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) — 22-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)