Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Eternal Materials Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Eternal Materials Co., Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.5%, MDD -46.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -72.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -14.6%, Sharpe 0.50, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.8%, MDD -57.9%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.1%p lower than buy and hold, while drawdown improves by 57.7%p (CAGR 8.5%, MDD -46.7%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=39 |
3.3% | -14.6% | 0.50 | 0.22 | 2.3x | 2 | 2% |
| Donchian 채널 돌파 entryN=103, exitN=58 |
8.5% | -46.7% | 0.46 | 0.18 | 8.9x | 38 | 40% |
| EMA 크로스오버 fast=21, slow=85 |
8.8% | -57.9% | 0.45 | 0.15 | 9.4x | 83 | 55% |
| SMA 크로스오버 fast=8, slow=133 |
8.0% | -48.7% | 0.43 | 0.17 | 7.8x | 93 | 52% |
| Supertrend period=15, mult=4.9 |
7.7% | -61.7% | 0.41 | 0.12 | 7.2x | 79 | 61% |
| ROC 모멘텀 n=100, threshold=0.14 |
5.3% | -53.2% | 0.34 | 0.10 | 3.9x | 169 | 22% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=4 |
3.9% | -54.3% | 0.30 | 0.07 | 2.8x | 54 | 20% |
| 볼린저 밴드 돌파 n=53, k=2.1 |
2.4% | -77.6% | 0.22 | 0.03 | 1.9x | 112 | 31% |
| MACD fast=18, slow=26, signal=16 |
1.2% | -68.2% | 0.17 | 0.02 | 1.4x | 331 | 49% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-0.4% | -72.9% | 0.11 | -0.01 | 0.9x | 313 | 51% |
| Buy and hold | 9.4% | -72.3% | 0.43 | 0.13 | 10.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)