Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Electricity Generating Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Electricity Generating Public Co., Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -27.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.2%, drawdown -77.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -38.0%, Sharpe 0.49, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 5.4%, MDD -27.9%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=93, exitN=88 |
7.3% | -38.0% | 0.49 | 0.19 | 6.6x | 25 | 59% |
| EMA 크로스오버 fast=42, slow=204 |
6.7% | -40.8% | 0.46 | 0.16 | 5.6x | 31 | 59% |
| SMA 크로스오버 fast=37, slow=219 |
6.6% | -46.8% | 0.45 | 0.14 | 5.4x | 35 | 56% |
| ADX / DI 방향성 period=39, threshold=16 |
5.4% | -27.9% | 0.44 | 0.19 | 4.0x | 80 | 31% |
| Supertrend period=9, mult=4.2 |
5.9% | -48.1% | 0.40 | 0.12 | 4.6x | 89 | 59% |
| Parabolic SAR step=0.01, maxStep=0.06 |
3.2% | -43.2% | 0.27 | 0.07 | 2.3x | 245 | 52% |
| ROC 모멘텀 n=135, threshold=-0.01 |
3.1% | -59.5% | 0.26 | 0.05 | 2.2x | 205 | 61% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
1.8% | -47.3% | 0.19 | 0.04 | 1.6x | 141 | 42% |
| MACD fast=18, slow=29, signal=18 |
1.3% | -59.9% | 0.16 | 0.02 | 1.4x | 307 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=3.1 |
1.0% | -32.9% | 0.14 | 0.03 | 1.3x | 87 | 31% |
| Buy and hold | 5.2% | -77.3% | 0.33 | 0.07 | 3.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 93 days
- Sell — Sell when price breaks below the lowest low of the last 88 days