Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ellington Financial Inc. backtest
10 trend-following strategies were compared on the full daily history of Ellington Financial Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.7%, MDD -15.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -85.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -15.8%, Sharpe 0.28, 14% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.6%, MDD -16.4%, exposure 0%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 69.6%p (CAGR 1.7%, MDD -15.8%, exposure 14%).
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=63, k=2.9 |
1.7% | -15.8% | 0.28 | 0.11 | 1.3x | 14 | 14% |
| ROC 모멘텀 n=3, threshold=0.11 |
3.6% | -16.4% | 0.25 | 0.22 | 1.7x | 10 | 0% |
| Supertrend period=29, mult=4.9 |
0.7% | -51.1% | 0.13 | 0.01 | 1.1x | 43 | 57% |
| Donchian 채널 돌파 entryN=67, exitN=23 |
0.6% | -36.2% | 0.11 | 0.02 | 1.1x | 35 | 27% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=28, mult=3.9 |
0.4% | -20.7% | 0.09 | 0.02 | 1.1x | 20 | 16% |
| EMA 크로스오버 fast=67, slow=82 |
0.4% | -36.9% | 0.09 | 0.01 | 1.1x | 27 | 48% |
| SMA 크로스오버 fast=24, slow=158 |
0.2% | -38.6% | 0.08 | 0.01 | 1.0x | 31 | 46% |
| ADX / DI 방향성 period=38, threshold=14 |
-0.7% | -38.6% | -0.04 | -0.02 | 0.9x | 58 | 18% |
| MACD fast=18, slow=29, signal=8 |
-3.7% | -59.2% | -0.05 | -0.06 | 0.5x | 256 | 50% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-8.0% | -75.7% | -0.20 | -0.11 | 0.3x | 276 | 52% |
| Buy and hold | -3.1% | -85.4% | 0.07 | -0.04 | 0.6x | 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 63-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 63-day middle average