Trend-Following Backtester · Guide · backtest 한국어
equity · US
EZCORP, Inc. backtest
10 trend-following strategies were compared on the full daily history of EZCORP, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -56.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.5%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -61.4%, Sharpe 0.50, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 7.0%, MDD -56.7%, exposure 18%).
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=43, slow=209 |
12.1% | -61.4% | 0.50 | 0.20 | 54.5x | 43 | 51% |
| Donchian 채널 돌파 entryN=54, exitN=35 |
10.6% | -80.8% | 0.47 | 0.13 | 34.2x | 80 | 45% |
| Supertrend period=20, mult=5 |
10.7% | -88.9% | 0.46 | 0.12 | 35.6x | 89 | 49% |
| EMA 크로스오버 fast=36, slow=152 |
10.2% | -70.9% | 0.45 | 0.14 | 30.4x | 51 | 52% |
| ADX / DI 방향성 period=34, threshold=12 |
9.6% | -85.8% | 0.41 | 0.11 | 24.6x | 275 | 45% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
7.0% | -56.7% | 0.41 | 0.12 | 10.6x | 54 | 18% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=14, mult=3.2 |
6.7% | -66.9% | 0.39 | 0.10 | 9.8x | 96 | 23% |
| ROC 모멘텀 n=133, threshold=0.07 |
4.2% | -72.8% | 0.29 | 0.06 | 4.2x | 237 | 44% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.1% | -93.5% | 0.19 | -0.00 | 1.0x | 269 | 50% |
| MACD fast=19, slow=51, signal=31 |
-2.1% | -97.7% | 0.16 | -0.02 | 0.5x | 295 | 51% |
| Buy and hold | 6.5% | -97.3% | 0.40 | 0.07 | 9.2x | 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 43-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 43-day average falls below the 209-day average