Trend-Following Backtester · Guide · backtest 한국어
equity · AR
MetroGas SA Class B backtest
10 trend-following strategies were compared on the full daily history of MetroGas SA Class B. 0 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 32.1%, MDD -58.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 33.7%, drawdown -87.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.1%, MDD -58.3%, Sharpe 0.92, 35% exposure.
CAGR reference leader: MACD — CAGR 33.5%, MDD -64.9%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 28.8%p (CAGR 32.1%, MDD -58.3%, exposure 35%).
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=54, exitN=17 |
32.1% | -58.3% | 0.92 | 0.55 | 1626.7x | 87 | 35% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
26.7% | -54.3% | 0.88 | 0.49 | 535.9x | 107 | 28% |
| MACD fast=21, slow=59, signal=20 |
33.5% | -64.9% | 0.88 | 0.52 | 2169.6x | 217 | 51% |
| EMA 크로스오버 fast=35, slow=177 |
32.5% | -60.7% | 0.86 | 0.53 | 1760.3x | 35 | 60% |
| ROC 모멘텀 n=122, threshold=0.05 |
31.5% | -65.9% | 0.85 | 0.48 | 1444.5x | 186 | 54% |
| SMA 크로스오버 fast=24, slow=211 |
30.2% | -67.9% | 0.83 | 0.44 | 1114.3x | 34 | 58% |
| Parabolic SAR step=0.01, maxStep=0.28 |
26.6% | -80.5% | 0.79 | 0.33 | 528.9x | 281 | 48% |
| Supertrend period=18, mult=2.6 |
25.2% | -75.7% | 0.76 | 0.33 | 394.3x | 281 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=2.2 |
22.7% | -62.4% | 0.74 | 0.36 | 227.5x | 137 | 36% |
| ADX / DI 방향성 period=33, threshold=11 |
21.4% | -77.1% | 0.71 | 0.28 | 173.8x | 206 | 37% |
| Buy and hold | 33.7% | -87.1% | 0.79 | 0.39 | 2253.4x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 17 days