Trend-Following Backtester · Guide · backtest 한국어
equity · TW
E Ink Holdings Inc backtest
10 trend-following strategies were compared on the full daily history of E Ink Holdings Inc. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.8%, MDD -41.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.6%, drawdown -87.7%).
Sharpe leader (same as main): Supertrend — CAGR 17.5%, MDD -68.5%, Sharpe 0.68, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 10.8%, MDD -41.1%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=3.7 |
17.5% | -68.5% | 0.68 | 0.26 | 20.4x | 82 | 49% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
14.6% | -64.0% | 0.63 | 0.23 | 12.7x | 106 | 40% |
| Donchian 채널 돌파 entryN=108, exitN=94 |
15.2% | -62.9% | 0.60 | 0.24 | 14.0x | 15 | 52% |
| SMA 크로스오버 fast=28, slow=147 |
14.0% | -59.1% | 0.58 | 0.24 | 11.6x | 38 | 51% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=1.9 |
10.8% | -41.1% | 0.56 | 0.26 | 6.7x | 118 | 25% |
| EMA 크로스오버 fast=48, slow=118 |
13.2% | -66.7% | 0.55 | 0.20 | 10.1x | 28 | 52% |
| ROC 모멘텀 n=114, threshold=0.01 |
12.8% | -60.7% | 0.54 | 0.21 | 9.5x | 151 | 51% |
| MACD fast=17, slow=26, signal=17 |
12.3% | -68.1% | 0.53 | 0.18 | 8.7x | 216 | 52% |
| ADX / DI 방향성 period=31, threshold=17 |
6.0% | -57.4% | 0.36 | 0.10 | 3.0x | 98 | 27% |
| Parabolic SAR step=0.005, maxStep=0.2 |
5.0% | -63.7% | 0.32 | 0.08 | 2.5x | 144 | 50% |
| Buy and hold | 7.6% | -87.7% | 0.39 | 0.09 | 3.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)