Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enerpac Tool Group Corp. backtest
10 trend-following strategies were compared on the full daily history of Enerpac Tool Group Corp.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.2%, MDD -48.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -79.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -48.8%, Sharpe 0.48, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 9.2%, MDD -48.8%, exposure 55%).
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=56, slow=89 |
9.2% | -48.8% | 0.48 | 0.19 | 10.0x | 72 | 55% |
| Donchian 채널 돌파 entryN=86, exitN=52 |
5.3% | -50.8% | 0.35 | 0.10 | 3.9x | 46 | 44% |
| Supertrend period=5, mult=4.3 |
5.2% | -64.5% | 0.32 | 0.08 | 3.7x | 119 | 58% |
| EMA 크로스오버 fast=76, slow=199 |
4.9% | -64.2% | 0.32 | 0.08 | 3.5x | 30 | 59% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=2.2 |
3.1% | -72.8% | 0.25 | 0.04 | 2.2x | 126 | 39% |
| 볼린저 밴드 돌파 n=70, k=1.4 |
3.1% | -62.5% | 0.25 | 0.05 | 2.2x | 107 | 42% |
| ROC 모멘텀 n=68, threshold=0.04 |
2.6% | -70.0% | 0.22 | 0.04 | 1.9x | 298 | 48% |
| ADX / DI 방향성 period=31, threshold=28 |
1.3% | -24.1% | 0.19 | 0.05 | 1.4x | 10 | 4% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.1% | -83.9% | 0.18 | 0.01 | 1.3x | 236 | 56% |
| MACD fast=19, slow=40, signal=13 |
-1.3% | -84.3% | 0.07 | -0.02 | 0.7x | 339 | 51% |
| Buy and hold | 7.8% | -79.4% | 0.39 | 0.10 | 7.1x | 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 56-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 56-day average falls below the 89-day average