Trend-Following Backtester · Guide · backtest 한국어
equity · US
ePlus inc. backtest
10 trend-following strategies were compared on the full daily history of ePlus inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -91.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.9%, MDD -84.5%, Sharpe 0.45, 89% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 n=23, threshold=-0.11 |
11.9% | -84.5% | 0.45 | 0.14 | 28.3x | 269 | 89% |
| Donchian 채널 돌파 entryN=16, exitN=71 |
9.6% | -94.1% | 0.41 | 0.10 | 15.2x | 73 | 82% |
| SMA 크로스오버 fast=44, slow=112 |
7.3% | -83.1% | 0.35 | 0.09 | 8.1x | 67 | 62% |
| Supertrend period=27, mult=3.5 |
7.1% | -78.7% | 0.34 | 0.09 | 7.7x | 147 | 57% |
| EMA 크로스오버 fast=23, slow=108 |
6.9% | -76.5% | 0.34 | 0.09 | 7.3x | 83 | 62% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.1% | -84.3% | 0.25 | 0.04 | 2.5x | 230 | 53% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
3.5% | -65.8% | 0.23 | 0.05 | 2.8x | 72 | 10% |
| MACD fast=17, slow=31, signal=14 |
1.7% | -89.7% | 0.22 | 0.02 | 1.6x | 396 | 49% |
| ADX / DI 방향성 period=43, threshold=31 |
2.8% | -58.8% | 0.20 | 0.05 | 2.2x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=3.2 |
1.2% | -76.9% | 0.17 | 0.02 | 1.4x | 92 | 28% |
| Buy and hold | 12.9% | -91.8% | 0.47 | 0.14 | 36.8x | 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 23-day return is greater than -11%
- Sell — Sell when the 23-day return drops to -11% or below