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 32.5%, MDD -58.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 34.1%, drawdown -87.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.5%, MDD -58.3%, Sharpe 0.93, 35% exposure.
CAGR reference leader: MACD — CAGR 33.5%, MDD -64.9%, exposure 52%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 28.8%p (CAGR 32.5%, 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 |
32.5% | -58.3% | 0.93 | 0.56 | 1813.9x | 87 | 35% |
| MACD fast=21, slow=59, signal=20 |
33.5% | -64.9% | 0.88 | 0.52 | 2213.1x | 219 | 52% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
26.3% | -54.3% | 0.87 | 0.48 | 505.2x | 108 | 28% |
| EMA 크로스오버 fast=35, slow=177 |
32.4% | -62.9% | 0.86 | 0.52 | 1770.4x | 37 | 60% |
| ROC 모멘텀 n=122, threshold=0.05 |
31.5% | -65.9% | 0.85 | 0.48 | 1479.9x | 187 | 54% |
| SMA 크로스오버 fast=24, slow=211 |
30.2% | -67.9% | 0.83 | 0.45 | 1144.6x | 35 | 57% |
| Parabolic SAR step=0.01, maxStep=0.28 |
26.5% | -80.5% | 0.79 | 0.33 | 532.0x | 283 | 48% |
| Supertrend period=18, mult=2.6 |
25.6% | -75.7% | 0.77 | 0.34 | 439.7x | 281 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=2.2 |
22.3% | -62.4% | 0.74 | 0.36 | 216.4x | 139 | 36% |
| ADX / DI 방향성 period=33, threshold=11 |
21.3% | -77.1% | 0.70 | 0.28 | 173.7x | 207 | 37% |
| Buy and hold | 34.1% | -87.1% | 0.79 | 0.39 | 2512.6x | 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