Trend-Following Backtester · Guide · backtest 한국어
equity · US
EnerSys backtest
10 trend-following strategies were compared on the full daily history of EnerSys. 1 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 17.4%, MDD -50.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.0%, drawdown -84.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.4%, MDD -50.0%, Sharpe 0.61, 91% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 17.4%, MDD -50.0%, exposure 91%).
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=88 |
17.4% | -50.0% | 0.61 | 0.35 | 33.8x | 53 | 91% |
| SMA 크로스오버 fast=19, slow=159 |
9.5% | -45.0% | 0.46 | 0.21 | 7.3x | 59 | 60% |
| Supertrend period=3, mult=5 |
9.5% | -74.2% | 0.46 | 0.13 | 7.3x | 78 | 55% |
| EMA 크로스오버 fast=36, slow=69 |
8.5% | -45.8% | 0.43 | 0.19 | 6.1x | 68 | 61% |
| 볼린저 밴드 돌파 n=74, k=2.1 |
5.7% | -62.0% | 0.35 | 0.09 | 3.4x | 66 | 37% |
| MACD fast=17, slow=50, signal=19 |
6.0% | -63.0% | 0.34 | 0.09 | 3.6x | 234 | 50% |
| ADX / DI 방향성 period=39, threshold=28 |
1.3% | -16.1% | 0.27 | 0.08 | 1.3x | 6 | 2% |
| ROC 모멘텀 n=115, threshold=-0.04 |
2.6% | -68.1% | 0.24 | 0.04 | 1.8x | 199 | 67% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=19, mult=4 |
1.5% | -21.6% | 0.20 | 0.07 | 1.4x | 20 | 5% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.3% | -67.6% | 0.13 | -0.01 | 0.9x | 194 | 56% |
| Buy and hold | 13.0% | -84.0% | 0.50 | 0.16 | 14.8x | 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 88 days