Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Episil-Precision, Inc. backtest
10 trend-following strategies were compared on the full daily history of Episil-Precision, Inc.. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.2%, MDD -22.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.8%, drawdown -93.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 21.9%, MDD -60.6%, Sharpe 0.73, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 10.2%, MDD -22.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.1 |
21.9% | -60.6% | 0.73 | 0.36 | 109.6x | 263 | 47% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=28, mult=3.2 |
10.2% | -22.3% | 0.69 | 0.46 | 9.9x | 44 | 4% |
| Supertrend period=9, mult=2.2 |
15.6% | -66.0% | 0.59 | 0.24 | 31.1x | 251 | 46% |
| MACD fast=10, slow=38, signal=11 |
14.5% | -72.9% | 0.55 | 0.20 | 24.6x | 375 | 50% |
| SMA 크로스오버 fast=11, slow=205 |
12.8% | -75.2% | 0.50 | 0.17 | 17.2x | 51 | 51% |
| Donchian 채널 돌파 entryN=13, exitN=34 |
12.9% | -74.0% | 0.50 | 0.17 | 17.6x | 120 | 67% |
| EMA 크로스오버 fast=52, slow=108 |
12.5% | -71.6% | 0.50 | 0.17 | 16.4x | 47 | 51% |
| 볼린저 밴드 돌파 n=43, k=2.6 |
9.6% | -61.5% | 0.46 | 0.16 | 8.8x | 86 | 22% |
| ADX / DI 방향성 period=13, threshold=16 |
10.4% | -70.0% | 0.45 | 0.15 | 10.5x | 384 | 50% |
| ROC 모멘텀 n=79, threshold=0.09 |
6.5% | -76.2% | 0.36 | 0.09 | 4.4x | 238 | 38% |
| Buy and hold | 9.8% | -93.0% | 0.44 | 0.11 | 9.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots