Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enpro Inc. backtest
10 trend-following strategies were compared on the full daily history of Enpro Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.6%, MDD -56.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.8%, drawdown -73.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.6%, MDD -56.4%, Sharpe 0.73, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 20.6%, MDD -56.4%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=49 |
20.6% | -56.4% | 0.73 | 0.37 | 94.1x | 75 | 80% |
| Supertrend period=19, mult=5 |
14.9% | -62.1% | 0.62 | 0.24 | 29.3x | 70 | 62% |
| EMA 크로스오버 fast=50, slow=147 |
12.3% | -48.2% | 0.55 | 0.25 | 16.7x | 35 | 67% |
| ROC 모멘텀 n=149, threshold=-0.02 |
12.3% | -55.9% | 0.54 | 0.22 | 16.7x | 151 | 69% |
| SMA 크로스오버 fast=10, slow=98 |
11.5% | -61.2% | 0.53 | 0.19 | 13.9x | 102 | 61% |
| MACD fast=15, slow=49, signal=19 |
10.4% | -45.9% | 0.50 | 0.23 | 11.0x | 266 | 50% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=19, mult=2 |
8.3% | -49.1% | 0.48 | 0.17 | 6.9x | 152 | 32% |
| 볼린저 밴드 돌파 n=14, k=2.4 |
5.8% | -57.9% | 0.42 | 0.10 | 3.9x | 152 | 19% |
| Parabolic SAR step=0.015, maxStep=0.16 |
6.1% | -62.1% | 0.35 | 0.10 | 4.2x | 442 | 54% |
| ADX / DI 방향성 period=18, threshold=6 |
4.0% | -67.9% | 0.28 | 0.06 | 2.6x | 452 | 56% |
| Buy and hold | 15.8% | -73.3% | 0.57 | 0.22 | 34.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 49 days