Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Eternal Limited backtest
10 trend-following strategies were compared on the full daily history of Eternal Limited. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 32.8%, MDD -16.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 18.9%, drawdown -74.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 32.8%, MDD -16.8%, Sharpe 1.43, 35% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 42.6%, MDD -30.4%, exposure 59%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 57.2%p (CAGR 32.8%, MDD -16.8%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=3.4 |
32.8% | -16.8% | 1.43 | 1.95 | 4.2x | 7 | 35% |
| SMA 크로스오버 fast=45, slow=67 |
42.6% | -30.4% | 1.32 | 1.40 | 5.9x | 11 | 59% |
| 볼린저 밴드 돌파 n=54, k=2.3 |
31.0% | -27.8% | 1.30 | 1.11 | 3.9x | 11 | 39% |
| ROC 모멘텀 n=103, threshold=0.18 |
30.3% | -18.6% | 1.27 | 1.63 | 3.8x | 23 | 41% |
| EMA 크로스오버 fast=46, slow=141 |
32.5% | -31.9% | 1.25 | 1.02 | 4.1x | 5 | 47% |
| Donchian 채널 돌파 entryN=34, exitN=27 |
33.4% | -31.4% | 1.20 | 1.06 | 4.2x | 11 | 54% |
| Supertrend period=29, mult=3.2 |
35.1% | -29.3% | 1.14 | 1.20 | 4.5x | 19 | 61% |
| ADX / DI 방향성 period=27, threshold=22 |
18.0% | -15.3% | 0.98 | 1.17 | 2.3x | 14 | 28% |
| MACD fast=45, slow=85, signal=19 |
12.2% | -60.3% | 0.53 | 0.20 | 1.8x | 27 | 57% |
| Parabolic SAR step=0.005, maxStep=0.32 |
4.6% | -57.2% | 0.30 | 0.08 | 1.3x | 43 | 62% |
| Buy and hold | 18.9% | -74.0% | 0.61 | 0.26 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 50-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 50-day average