Trend-Following Backtester · Guide · backtest 한국어
equity · AU
4DMedical Ltd. backtest
10 trend-following strategies were compared on the full daily history of 4DMedical Ltd.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 43.3%, MDD -38.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 13.4%, drawdown -91.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 47.1%, MDD -50.2%, Sharpe 0.90, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 33.7%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 43.3%, MDD -38.1%, exposure 11%).
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=81, exitN=33 |
47.1% | -50.2% | 0.90 | 0.94 | 10.4x | 6 | 18% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=15, mult=3.1 |
43.3% | -38.1% | 0.88 | 1.14 | 8.8x | 16 | 11% |
| 볼린저 밴드 돌파 n=30, k=1.9 |
44.3% | -55.4% | 0.84 | 0.80 | 9.2x | 32 | 22% |
| MACD fast=14, slow=22, signal=16 |
45.2% | -64.4% | 0.81 | 0.70 | 9.6x | 86 | 47% |
| ROC 모멘텀 n=82, threshold=0.06 |
38.4% | -65.1% | 0.79 | 0.59 | 7.2x | 52 | 33% |
| ADX / DI 방향성 period=12, threshold=37 |
28.4% | -47.9% | 0.71 | 0.59 | 4.6x | 28 | 14% |
| SMA 크로스오버 fast=58, slow=101 |
29.7% | -69.9% | 0.70 | 0.42 | 4.8x | 14 | 35% |
| Supertrend period=14, mult=1.5 |
22.4% | -78.6% | 0.60 | 0.29 | 3.4x | 94 | 36% |
| Parabolic SAR step=0.03, maxStep=0.32 |
21.5% | -73.6% | 0.60 | 0.29 | 3.3x | 144 | 42% |
| EMA 크로스오버 fast=37, slow=184 |
20.1% | -70.1% | 0.58 | 0.29 | 3.0x | 7 | 29% |
| Buy and hold | 13.4% | -91.5% | 0.58 | 0.15 | 2.1x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 33 days