Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Cowell e Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Cowell e Holdings Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.4%, MDD -47.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.9%, drawdown -90.3%).
Sharpe leader (same as main): Supertrend — CAGR 31.2%, MDD -55.0%, Sharpe 0.80, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 18.4%, MDD -47.6%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=1.6 |
31.2% | -55.0% | 0.80 | 0.57 | 21.7x | 156 | 48% |
| 볼린저 밴드 돌파 n=11, k=1.2 |
28.3% | -49.8% | 0.77 | 0.57 | 16.9x | 226 | 39% |
| MACD fast=7, slow=15, signal=15 |
28.3% | -60.9% | 0.75 | 0.46 | 16.8x | 219 | 49% |
| ADX / DI 방향성 period=8, threshold=14 |
27.1% | -67.4% | 0.72 | 0.40 | 15.2x | 276 | 52% |
| ROC 모멘텀 n=11, threshold=-0.08 |
24.1% | -76.2% | 0.66 | 0.32 | 11.6x | 264 | 75% |
| EMA 크로스오버 fast=66, slow=280 |
21.4% | -66.6% | 0.63 | 0.32 | 9.0x | 6 | 60% |
| Donchian 채널 돌파 entryN=1, exitN=70 |
21.1% | -82.3% | 0.62 | 0.26 | 8.8x | 57 | 95% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=21, mult=1.1 |
18.4% | -47.6% | 0.60 | 0.39 | 6.8x | 94 | 37% |
| Parabolic SAR step=0.015, maxStep=0.32 |
16.0% | -76.5% | 0.54 | 0.21 | 5.4x | 170 | 49% |
| SMA 크로스오버 fast=61, slow=66 |
12.8% | -71.5% | 0.49 | 0.18 | 3.9x | 86 | 53% |
| Buy and hold | 15.9% | -90.3% | 0.55 | 0.18 | 5.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 1.6× band
- Sell — Sell when price drops below the trend line (flips down)