Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Ennostar Inc. backtest
10 trend-following strategies were compared on the full daily history of Ennostar Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.1%, MDD -24.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.8%, drawdown -71.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.9%, MDD -24.5%, Sharpe 0.59, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 5.1%, MDD -24.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=2.8 |
10.9% | -24.5% | 0.59 | 0.44 | 1.8x | 12 | 17% |
| ADX / DI 방향성 period=25, threshold=26 |
5.1% | -24.2% | 0.36 | 0.21 | 1.3x | 6 | 6% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=3.3 |
4.9% | -29.6% | 0.34 | 0.17 | 1.3x | 10 | 10% |
| Supertrend period=24, mult=3.5 |
5.8% | -36.3% | 0.34 | 0.16 | 1.4x | 27 | 50% |
| Donchian 채널 돌파 entryN=33, exitN=18 |
4.2% | -48.0% | 0.29 | 0.09 | 1.3x | 20 | 30% |
| MACD fast=13, slow=55, signal=13 |
3.4% | -52.2% | 0.26 | 0.06 | 1.2x | 67 | 50% |
| SMA 크로스오버 fast=30, slow=202 |
1.1% | -52.4% | 0.19 | 0.02 | 1.1x | 9 | 34% |
| EMA 크로스오버 fast=24, slow=32 |
0.5% | -49.0% | 0.16 | 0.01 | 1.0x | 24 | 43% |
| ROC 모멘텀 n=139, threshold=0.12 |
0.7% | -44.0% | 0.15 | 0.02 | 1.0x | 29 | 17% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-9.0% | -54.6% | -0.21 | -0.17 | 0.6x | 93 | 50% |
| Buy and hold | -6.8% | -71.5% | 0.03 | -0.09 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 32-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 32-day middle average