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 6.3%, drawdown -97.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.9%, MDD -61.4%, Sharpe 0.49, 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 |
11.9% | -61.4% | 0.49 | 0.19 | 50.2x | 43 | 51% |
| Supertrend period=20, mult=5 |
11.3% | -88.9% | 0.47 | 0.13 | 41.6x | 87 | 49% |
| Donchian 채널 돌파 entryN=54, exitN=35 |
10.6% | -80.8% | 0.47 | 0.13 | 34.2x | 80 | 45% |
| EMA 크로스오버 fast=36, slow=152 |
10.0% | -70.9% | 0.45 | 0.14 | 28.0x | 51 | 52% |
| ADX / DI 방향성 period=34, threshold=12 |
9.6% | -85.8% | 0.41 | 0.11 | 24.7x | 274 | 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 |
6.8% | -66.9% | 0.39 | 0.10 | 9.8x | 96 | 23% |
| ROC 모멘텀 n=133, threshold=0.07 |
4.0% | -72.8% | 0.28 | 0.05 | 3.9x | 237 | 44% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.1% | -93.5% | 0.19 | -0.00 | 1.0x | 268 | 50% |
| MACD fast=19, slow=51, signal=31 |
-1.9% | -97.7% | 0.16 | -0.02 | 0.5x | 294 | 51% |
| Buy and hold | 6.3% | -97.3% | 0.39 | 0.06 | 8.5x | 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