Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ENEOS Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of ENEOS Holdings, Inc.. 1 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 3.5%, MDD -24.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.5%, drawdown -73.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.5%, MDD -24.4%, Sharpe 0.44, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 48.9%p (CAGR 3.5%, MDD -24.4%, exposure 10%).
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=35, atrPeriod=10, mult=4 |
3.5% | -24.4% | 0.44 | 0.15 | 2.4x | 26 | 10% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
2.9% | -39.4% | 0.27 | 0.07 | 2.1x | 56 | 22% |
| SMA 크로스오버 fast=59, slow=97 |
3.4% | -48.2% | 0.26 | 0.07 | 2.3x | 74 | 52% |
| Donchian 채널 돌파 entryN=22, exitN=32 |
2.1% | -55.7% | 0.21 | 0.04 | 1.7x | 107 | 61% |
| ADX / DI 방향성 period=26, threshold=21 |
1.5% | -33.5% | 0.19 | 0.04 | 1.5x | 58 | 14% |
| EMA 크로스오버 fast=30, slow=218 |
1.4% | -75.6% | 0.17 | 0.02 | 1.4x | 45 | 54% |
| Supertrend period=19, mult=4.6 |
1.0% | -68.6% | 0.15 | 0.01 | 1.3x | 96 | 55% |
| MACD fast=19, slow=55, signal=17 |
-2.8% | -75.7% | -0.02 | -0.04 | 0.5x | 289 | 53% |
| ROC 모멘텀 n=80, threshold=0.13 |
-1.5% | -70.4% | -0.02 | -0.02 | 0.7x | 250 | 24% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.4% | -89.0% | -0.14 | -0.06 | 0.2x | 213 | 54% |
| Buy and hold | 3.5% | -73.3% | 0.27 | 0.05 | 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 35-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-day average