Trend-Following Backtester · Guide · backtest 한국어
equity · TW
E.SUN Financial Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of E.SUN Financial Holding Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.5%, MDD -56.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -73.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.5%, MDD -56.8%, Sharpe 0.56, 93% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 17.0%p (CAGR 10.5%, MDD -56.8%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=96, threshold=-0.15 |
10.5% | -56.8% | 0.56 | 0.18 | 11.5x | 63 | 93% |
| EMA 크로스오버 fast=47, slow=205 |
8.8% | -40.5% | 0.53 | 0.22 | 7.9x | 25 | 75% |
| SMA 크로스오버 fast=41, slow=153 |
7.9% | -35.6% | 0.49 | 0.22 | 6.5x | 43 | 68% |
| Donchian 채널 돌파 entryN=24, exitN=34 |
7.0% | -39.4% | 0.45 | 0.18 | 5.3x | 93 | 69% |
| Supertrend period=24, mult=3.9 |
6.1% | -43.9% | 0.41 | 0.14 | 4.2x | 111 | 63% |
| MACD fast=48, slow=55, signal=30 |
5.8% | -37.1% | 0.40 | 0.16 | 4.0x | 145 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.5% | -49.2% | 0.29 | 0.07 | 2.3x | 183 | 56% |
| ADX / DI 방향성 period=31, threshold=16 |
2.8% | -28.8% | 0.27 | 0.10 | 2.0x | 121 | 31% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
2.2% | -50.8% | 0.22 | 0.04 | 1.7x | 145 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=3.2 |
-0.5% | -49.3% | 0.03 | -0.01 | 0.9x | 93 | 37% |
| Buy and hold | 10.5% | -73.8% | 0.52 | 0.14 | 11.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 96-day return is greater than -15%
- Sell — Sell when the 96-day return drops to -15% or below