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 86.2%, MDD -39.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 67.7%, drawdown -85.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 78.6%, MDD -42.8%, Sharpe 1.83, 40% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 86.2%, 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 86.2%, 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 |
78.6% | -42.8% | 1.83 | 1.84 | 114.4x | 11 | 40% |
| ROC 모멘텀 n=117, threshold=0.09 |
85.8% | -58.2% | 1.74 | 1.48 | 158.2x | 29 | 52% |
| ADX / DI 방향성 period=39, threshold=15 |
80.1% | -58.2% | 1.72 | 1.38 | 122.7x | 29 | 47% |
| EMA 크로스오버 fast=7, slow=76 |
86.2% | -39.8% | 1.69 | 2.17 | 160.9x | 33 | 57% |
| SMA 크로스오버 fast=21, slow=38 |
82.0% | -63.8% | 1.64 | 1.29 | 133.5x | 53 | 54% |
| Supertrend period=29, mult=1.6 |
75.9% | -77.6% | 1.62 | 0.98 | 101.1x | 180 | 42% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=1.5 |
70.2% | -44.5% | 1.56 | 1.58 | 77.3x | 49 | 48% |
| MACD fast=15, slow=28, signal=9 |
76.6% | -77.4% | 1.52 | 0.99 | 104.6x | 115 | 52% |
| 볼린저 밴드 돌파 n=44, k=1.4 |
66.3% | -52.5% | 1.50 | 1.26 | 63.8x | 51 | 43% |
| Parabolic SAR step=0.01, maxStep=0.36 |
63.4% | -63.0% | 1.42 | 1.01 | 55.3x | 103 | 47% |
| Buy and hold | 67.7% | -85.7% | 1.20 | 0.79 | 68.5x | 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