Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Eclat Textile Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Eclat Textile Co., Ltd.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.1%, MDD -37.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.9%, drawdown -63.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.1%, MDD -37.3%, Sharpe 0.72, 58% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.3%, MDD -46.7%, exposure 64%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 17.1%, MDD -37.3%, exposure 58%).
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=98, exitN=76 |
17.1% | -37.3% | 0.72 | 0.46 | 54.4x | 26 | 58% |
| SMA 크로스오버 fast=65, slow=214 |
17.3% | -46.7% | 0.72 | 0.37 | 56.8x | 26 | 64% |
| EMA 크로스오버 fast=36, slow=101 |
15.1% | -53.5% | 0.64 | 0.28 | 35.0x | 54 | 65% |
| ROC 모멘텀 n=145, threshold=-0.03 |
12.4% | -77.1% | 0.55 | 0.16 | 19.0x | 204 | 67% |
| 볼린저 밴드 돌파 n=64, k=2.3 |
10.1% | -44.1% | 0.55 | 0.23 | 11.4x | 72 | 32% |
| Supertrend period=13, mult=4.3 |
10.5% | -66.1% | 0.52 | 0.16 | 12.5x | 98 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=10, mult=3.1 |
8.1% | -57.5% | 0.48 | 0.14 | 7.2x | 84 | 30% |
| ADX / DI 방향성 period=39, threshold=17 |
7.5% | -55.3% | 0.46 | 0.14 | 6.2x | 88 | 29% |
| MACD fast=19, slow=25, signal=18 |
8.1% | -60.2% | 0.43 | 0.13 | 7.2x | 323 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
4.8% | -74.6% | 0.31 | 0.07 | 3.3x | 299 | 53% |
| Buy and hold | 16.9% | -63.5% | 0.62 | 0.27 | 52.0x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 76 days