Trend-Following Backtester · Guide · backtest 한국어
equity · IN
E2E Networks Ltd backtest
10 trend-following strategies were compared on the full daily history of E2E Networks Ltd. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 89.1%, MDD -39.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 70.5%, drawdown -85.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 81.4%, MDD -42.8%, Sharpe 1.86, 40% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 89.1%, MDD -39.8%, exposure 57%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 89.1%, MDD -39.8%, exposure 57%).
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=105, exitN=29 |
81.4% | -42.8% | 1.86 | 1.90 | 136.9x | 11 | 40% |
| ROC 모멘텀 n=117, threshold=0.09 |
88.7% | -58.2% | 1.78 | 1.53 | 189.2x | 29 | 53% |
| ADX / DI 방향성 period=39, threshold=15 |
83.0% | -58.2% | 1.75 | 1.42 | 146.8x | 29 | 47% |
| EMA 크로스오버 fast=7, slow=76 |
89.1% | -39.8% | 1.72 | 2.24 | 192.5x | 33 | 57% |
| SMA 크로스오버 fast=21, slow=38 |
84.9% | -63.8% | 1.67 | 1.33 | 159.7x | 53 | 54% |
| Supertrend period=29, mult=1.6 |
77.7% | -77.6% | 1.65 | 1.00 | 115.1x | 182 | 42% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=1.5 |
73.0% | -44.5% | 1.60 | 1.64 | 92.5x | 49 | 49% |
| MACD fast=15, slow=28, signal=9 |
79.5% | -77.4% | 1.56 | 1.03 | 125.1x | 116 | 52% |
| 볼린저 밴드 돌파 n=44, k=1.4 |
69.0% | -52.5% | 1.54 | 1.31 | 76.3x | 51 | 44% |
| Parabolic SAR step=0.01, maxStep=0.36 |
66.2% | -63.0% | 1.46 | 1.05 | 66.4x | 104 | 47% |
| Buy and hold | 70.5% | -85.7% | 1.23 | 0.82 | 81.9x | 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 105 days
- Sell — Sell when price breaks below the lowest low of the last 29 days