Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Ecora Royalties PLC backtest
10 trend-following strategies were compared on the full daily history of Ecora Royalties PLC. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -31.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.2%, drawdown -86.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.6%, MDD -62.8%, Sharpe 0.53, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 5.4%, MDD -31.2%, exposure 9%).
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=104, exitN=77 |
10.6% | -62.8% | 0.53 | 0.17 | 47.2x | 41 | 48% |
| EMA 크로스오버 fast=22, slow=134 |
9.9% | -58.3% | 0.49 | 0.17 | 36.3x | 77 | 50% |
| ADX / DI 방향성 period=47, threshold=24 |
5.4% | -31.2% | 0.49 | 0.17 | 7.5x | 36 | 9% |
| SMA 크로스오버 fast=36, slow=222 |
9.5% | -52.1% | 0.49 | 0.18 | 31.9x | 49 | 48% |
| ROC 모멘텀 n=148, threshold=0.11 |
7.0% | -60.8% | 0.41 | 0.12 | 13.4x | 219 | 37% |
| Supertrend period=16, mult=4.6 |
7.5% | -78.0% | 0.40 | 0.10 | 16.1x | 171 | 53% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=20, mult=2.7 |
5.1% | -49.5% | 0.35 | 0.10 | 6.8x | 145 | 27% |
| 볼린저 밴드 돌파 n=43, k=1.9 |
4.5% | -61.8% | 0.31 | 0.07 | 5.4x | 187 | 35% |
| MACD fast=13, slow=57, signal=15 |
0.3% | -79.7% | 0.14 | 0.00 | 1.1x | 479 | 50% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-0.1% | -93.0% | 0.13 | -0.00 | 1.0x | 681 | 48% |
| Buy and hold | 4.2% | -86.5% | 0.30 | 0.05 | 4.9x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 77 days