Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Ennoconn Corp. backtest
10 trend-following strategies were compared on the full daily history of Ennoconn Corp.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.9%, MDD -46.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.3%, drawdown -77.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.6%, MDD -58.8%, Sharpe 0.63, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 14.9%, MDD -46.2%, exposure 83%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=3, threshold=-0.1 |
17.6% | -58.8% | 0.63 | 0.30 | 8.8x | 52 | 98% |
| Supertrend period=25, mult=4.1 |
14.0% | -49.8% | 0.62 | 0.28 | 5.8x | 50 | 57% |
| SMA 크로스오버 fast=10, slow=41 |
13.6% | -42.5% | 0.61 | 0.32 | 5.5x | 89 | 59% |
| Donchian 채널 돌파 entryN=8, exitN=50 |
14.9% | -46.2% | 0.59 | 0.32 | 6.4x | 49 | 83% |
| EMA 크로스오버 fast=14, slow=31 |
12.2% | -51.2% | 0.56 | 0.24 | 4.7x | 83 | 61% |
| MACD fast=11, slow=35, signal=7 |
9.8% | -52.7% | 0.49 | 0.19 | 3.5x | 244 | 49% |
| ADX / DI 방향성 period=20, threshold=44 |
2.7% | -15.0% | 0.46 | 0.18 | 1.4x | 2 | 2% |
| 볼린저 밴드 돌파 n=57, k=1.3 |
6.4% | -58.0% | 0.37 | 0.11 | 2.3x | 75 | 47% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=3.2 |
4.9% | -62.8% | 0.33 | 0.08 | 1.9x | 41 | 29% |
| Parabolic SAR step=0.02, maxStep=0.12 |
4.8% | -51.4% | 0.31 | 0.09 | 1.9x | 244 | 52% |
| Buy and hold | 14.3% | -77.7% | 0.55 | 0.18 | 6.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -10%
- Sell — Sell when the 3-day return drops to -10% or below