Trend-Following Backtester · Guide · backtest 한국어
equity · AU
SGH Limited backtest
10 trend-following strategies were compared on the full daily history of SGH Limited. 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 9.0%, MDD -53.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -71.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -53.0%, Sharpe 0.46, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 9.0%, MDD -53.0%, exposure 73%).
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=18, exitN=43 |
9.0% | -53.0% | 0.46 | 0.17 | 17.2x | 128 | 73% |
| SMA 크로스오버 fast=11, slow=199 |
5.4% | -58.2% | 0.35 | 0.09 | 5.6x | 78 | 58% |
| Supertrend period=13, mult=4.1 |
4.9% | -41.8% | 0.33 | 0.12 | 4.8x | 146 | 59% |
| ROC 모멘텀 n=97, threshold=0 |
4.4% | -61.7% | 0.30 | 0.07 | 4.1x | 248 | 57% |
| EMA 크로스오버 fast=50, slow=143 |
3.4% | -67.0% | 0.26 | 0.05 | 3.0x | 56 | 61% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=2.8 |
2.9% | -42.0% | 0.25 | 0.07 | 2.5x | 126 | 40% |
| Parabolic SAR step=0.005, maxStep=0.06 |
2.8% | -61.7% | 0.23 | 0.05 | 2.5x | 234 | 56% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
0.6% | -53.4% | 0.13 | 0.01 | 1.2x | 184 | 44% |
| MACD fast=22, slow=37, signal=17 |
0.4% | -69.1% | 0.13 | 0.01 | 1.2x | 336 | 49% |
| ADX / DI 방향성 period=19, threshold=20 |
0.6% | -57.0% | 0.12 | 0.01 | 1.2x | 260 | 35% |
| Buy and hold | 8.1% | -71.2% | 0.40 | 0.11 | 13.2x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 43 days