Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Endurance Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Endurance Technologies Ltd.. 5 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 17.1%, MDD -19.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 16.2%, drawdown -62.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.5%, MDD -39.4%, Sharpe 0.96, 80% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 17.1%, MDD -19.7%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=58 |
25.5% | -39.4% | 0.96 | 0.65 | 9.4x | 19 | 80% |
| ADX / DI 방향성 period=27, threshold=20 |
17.1% | -19.7% | 0.93 | 0.86 | 4.7x | 32 | 37% |
| MACD fast=19, slow=45, signal=19 |
19.2% | -32.0% | 0.87 | 0.60 | 5.7x | 91 | 50% |
| 볼린저 밴드 돌파 n=46, k=2.2 |
15.9% | -37.7% | 0.83 | 0.42 | 4.3x | 37 | 39% |
| ROC 모멘텀 n=43, threshold=0 |
18.1% | -28.0% | 0.82 | 0.65 | 5.2x | 105 | 58% |
| SMA 크로스오버 fast=27, slow=52 |
17.3% | -42.0% | 0.79 | 0.41 | 4.8x | 41 | 59% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=2.2 |
11.8% | -24.2% | 0.75 | 0.49 | 3.0x | 37 | 27% |
| Supertrend period=24, mult=4.4 |
15.9% | -34.0% | 0.72 | 0.47 | 4.3x | 23 | 69% |
| EMA 크로스오버 fast=47, slow=65 |
13.9% | -46.3% | 0.66 | 0.30 | 3.6x | 23 | 64% |
| Parabolic SAR step=0.005, maxStep=0.24 |
9.9% | -57.1% | 0.51 | 0.17 | 2.5x | 83 | 53% |
| Buy and hold | 16.2% | -62.7% | 0.63 | 0.26 | 4.4x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 58 days