Trend-Following Backtester · Guide · backtest 한국어
equity · US
eBay Inc. backtest
10 trend-following strategies were compared on the full daily history of eBay Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.3%, drawdown -82.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.3%, MDD -87.3%, Sharpe 0.52, 88% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=7, exitN=75 |
14.3% | -87.3% | 0.52 | 0.16 | 41.0x | 91 | 88% |
| Supertrend period=15, mult=3.6 |
12.6% | -60.4% | 0.51 | 0.21 | 27.4x | 143 | 57% |
| SMA 크로스오버 fast=48, slow=228 |
10.2% | -57.1% | 0.48 | 0.18 | 15.0x | 43 | 63% |
| EMA 크로스오버 fast=68, slow=218 |
7.9% | -68.4% | 0.40 | 0.12 | 8.3x | 29 | 66% |
| Parabolic SAR step=0.005, maxStep=0.3 |
6.9% | -68.3% | 0.36 | 0.10 | 6.5x | 244 | 54% |
| ROC 모멘텀 n=31, threshold=-0.08 |
6.2% | -86.3% | 0.35 | 0.07 | 5.4x | 373 | 81% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=3.7 |
3.9% | -42.0% | 0.33 | 0.09 | 2.9x | 34 | 6% |
| ADX / DI 방향성 period=10, threshold=35 |
4.8% | -59.9% | 0.32 | 0.08 | 3.6x | 178 | 16% |
| MACD fast=17, slow=28, signal=15 |
4.1% | -61.5% | 0.28 | 0.07 | 3.1x | 358 | 50% |
| 볼린저 밴드 돌파 n=25, k=1.6 |
3.0% | -63.9% | 0.24 | 0.05 | 2.3x | 291 | 39% |
| Buy and hold | 19.3% | -82.6% | 0.60 | 0.23 | 136.5x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 75 days