Trend-Following Backtester · Guide · backtest 한국어
equity · TW
EZconn Corp. backtest
10 trend-following strategies were compared on the full daily history of EZconn Corp.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 52.7%, MDD -40.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 34.6%, drawdown -63.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 52.7%, MDD -40.9%, Sharpe 1.19, 82% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 18.1%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 52.7%, MDD -40.9%, exposure 82%).
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=5, exitN=36 |
52.7% | -40.9% | 1.19 | 1.29 | 195.0x | 57 | 82% |
| Supertrend period=19, mult=2.7 |
34.9% | -45.4% | 1.02 | 0.77 | 41.6x | 93 | 54% |
| Parabolic SAR step=0.005, maxStep=0.26 |
32.9% | -48.0% | 0.99 | 0.68 | 34.5x | 81 | 48% |
| ADX / DI 방향성 period=38, threshold=17 |
33.7% | -49.7% | 0.98 | 0.68 | 37.2x | 32 | 41% |
| MACD fast=23, slow=40, signal=14 |
27.9% | -57.7% | 0.90 | 0.48 | 21.5x | 125 | 49% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=10, mult=2.2 |
29.6% | -43.2% | 0.89 | 0.68 | 25.2x | 46 | 37% |
| SMA 크로스오버 fast=9, slow=101 |
32.0% | -69.8% | 0.89 | 0.46 | 31.8x | 48 | 54% |
| ROC 모멘텀 n=13, threshold=-0.01 |
30.0% | -61.1% | 0.88 | 0.49 | 26.3x | 349 | 59% |
| EMA 크로스오버 fast=12, slow=109 |
30.3% | -61.8% | 0.86 | 0.49 | 27.0x | 38 | 57% |
| 볼린저 밴드 돌파 n=34, k=2.3 |
21.5% | -47.7% | 0.78 | 0.45 | 11.3x | 56 | 25% |
| Buy and hold | 34.6% | -63.8% | 0.87 | 0.54 | 40.4x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 36 days