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 5.1%, MDD -32.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.9%, drawdown -77.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -42.9%, Sharpe 0.48, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 5.1%, MDD -32.6%, 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=67, exitN=65 |
7.1% | -42.9% | 0.48 | 0.16 | 6.2x | 37 | 59% |
| SMA 크로스오버 fast=35, slow=210 |
6.5% | -46.4% | 0.45 | 0.14 | 5.4x | 35 | 57% |
| EMA 크로스오버 fast=37, slow=209 |
6.4% | -42.1% | 0.44 | 0.15 | 5.3x | 33 | 59% |
| ADX / DI 방향성 period=40, threshold=16 |
5.1% | -32.6% | 0.43 | 0.16 | 3.8x | 80 | 31% |
| Supertrend period=9, mult=4.2 |
5.6% | -48.1% | 0.39 | 0.12 | 4.3x | 89 | 59% |
| ROC 모멘텀 n=86, threshold=-0.06 |
4.7% | -62.4% | 0.34 | 0.08 | 3.4x | 193 | 75% |
| Parabolic SAR step=0.01, maxStep=0.06 |
3.0% | -43.2% | 0.26 | 0.07 | 2.2x | 246 | 52% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
1.4% | -38.7% | 0.18 | 0.04 | 1.5x | 48 | 20% |
| MACD fast=25, slow=34, signal=14 |
1.4% | -65.2% | 0.17 | 0.02 | 1.4x | 282 | 51% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=37, mult=4 |
1.1% | -34.6% | 0.15 | 0.03 | 1.3x | 62 | 20% |
| Buy and hold | 4.9% | -77.3% | 0.32 | 0.06 | 3.6x | 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 67 days
- Sell — Sell when price breaks below the lowest low of the last 65 days