Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Desktop SA backtest
10 trend-following strategies were compared on the full daily history of Desktop SA. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.7%, MDD -26.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.4%, drawdown -76.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.7%, MDD -26.4%, Sharpe 0.78, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.5%, MDD -28.0%, exposure 42%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.1%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 15.7%, MDD -26.4%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=15, mult=3.7 |
15.7% | -26.4% | 0.78 | 0.59 | 2.1x | 4 | 12% |
| ADX / DI 방향성 period=38, threshold=15 |
14.7% | -26.4% | 0.73 | 0.56 | 2.0x | 12 | 13% |
| SMA 크로스오버 fast=8, slow=269 |
18.5% | -28.0% | 0.67 | 0.66 | 2.3x | 5 | 42% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
10.3% | -26.4% | 0.63 | 0.39 | 1.6x | 2 | 4% |
| EMA 크로스오버 fast=14, slow=141 |
16.0% | -34.2% | 0.62 | 0.47 | 2.1x | 7 | 40% |
| Donchian 채널 돌파 entryN=117, exitN=34 |
14.7% | -28.0% | 0.61 | 0.53 | 2.0x | 6 | 27% |
| ROC 모멘텀 n=143, threshold=0.08 |
14.2% | -33.0% | 0.58 | 0.43 | 1.9x | 19 | 35% |
| MACD fast=14, slow=26, signal=18 |
6.6% | -60.4% | 0.36 | 0.11 | 1.4x | 57 | 48% |
| Supertrend period=9, mult=2.4 |
-5.1% | -54.7% | 0.04 | -0.09 | 0.8x | 45 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-10.0% | -62.2% | -0.09 | -0.16 | 0.6x | 71 | 49% |
| Buy and hold | -5.4% | -76.3% | 0.17 | -0.07 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 45-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 45-day average