Trend-Following Backtester · Guide · backtest 한국어
equity · US
Envela Corporation backtest
10 trend-following strategies were compared on the full daily history of Envela Corporation. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.3%, MDD -69.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.9%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.2%, MDD -70.8%, Sharpe 0.57, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.3%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 16.3%, MDD -69.8%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=344 |
19.2% | -70.8% | 0.57 | 0.27 | 420.0x | 25 | 52% |
| EMA 크로스오버 fast=65, slow=144 |
15.3% | -72.0% | 0.53 | 0.21 | 134.0x | 35 | 51% |
| Donchian 채널 돌파 entryN=94, exitN=72 |
16.3% | -69.8% | 0.52 | 0.23 | 178.7x | 41 | 51% |
| ROC 모멘텀 n=150, threshold=-0.01 |
10.0% | -85.1% | 0.43 | 0.12 | 26.8x | 295 | 55% |
| Supertrend period=11, mult=5 |
-2.7% | -99.4% | 0.23 | -0.03 | 0.4x | 141 | 56% |
| ADX / DI 방향성 period=28, threshold=15 |
-3.0% | -97.8% | 0.15 | -0.03 | 0.3x | 252 | 34% |
| Keltner 채널 돌파 emaPeriod=101, atrPeriod=28, mult=3.6 |
-2.4% | -99.0% | 0.14 | -0.02 | 0.4x | 94 | 31% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-6.9% | -99.4% | 0.13 | -0.07 | 0.1x | 352 | 47% |
| 볼린저 밴드 돌파 n=37, k=2.9 |
-3.4% | -96.3% | 0.06 | -0.04 | 0.3x | 114 | 17% |
| MACD fast=15, slow=41, signal=16 |
-18.9% | -100.0% | -0.09 | -0.19 | 0.0x | 466 | 51% |
| Buy and hold | 5.9% | -97.3% | 0.45 | 0.06 | 7.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 344-day average
- Sell — Sell (to cash) when the 47-day average falls below the 344-day average