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.. 6 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 17.2%, MDD -19.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 15.9%, drawdown -62.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.2%, MDD -39.4%, Sharpe 0.95, 79% 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 17.2%, 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 |
25.2% | -39.4% | 0.95 | 0.64 | 9.0x | 19 | 79% |
| ADX / DI 방향성 period=27, threshold=20 |
17.2% | -19.7% | 0.93 | 0.87 | 4.7x | 32 | 37% |
| MACD fast=19, slow=45, signal=19 |
18.9% | -32.0% | 0.86 | 0.59 | 5.4x | 91 | 50% |
| 볼린저 밴드 돌파 n=46, k=2.2 |
16.2% | -37.7% | 0.85 | 0.43 | 4.3x | 36 | 39% |
| ROC 모멘텀 n=43, threshold=0 |
17.8% | -28.0% | 0.81 | 0.64 | 5.0x | 105 | 57% |
| SMA 크로스오버 fast=27, slow=52 |
17.0% | -42.0% | 0.78 | 0.40 | 4.6x | 41 | 59% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=2.2 |
12.4% | -24.2% | 0.78 | 0.51 | 3.1x | 36 | 27% |
| Supertrend period=24, mult=4.4 |
15.6% | -34.0% | 0.71 | 0.46 | 4.1x | 23 | 69% |
| EMA 크로스오버 fast=47, slow=65 |
13.6% | -46.3% | 0.65 | 0.29 | 3.5x | 23 | 64% |
| Parabolic SAR step=0.005, maxStep=0.24 |
9.5% | -57.1% | 0.49 | 0.17 | 2.4x | 83 | 52% |
| Buy and hold | 15.9% | -62.7% | 0.62 | 0.25 | 4.2x | 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