Trend-Following Backtester · Guide · backtest 한국어
equity · BR
RIACHUELO backtest
10 trend-following strategies were compared on the full daily history of RIACHUELO. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.0%, MDD -24.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.4%, drawdown -90.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.0%, MDD -57.0%, Sharpe 1.01, 27% exposure.
CAGR reference leader: MACD — CAGR 19.4%, MDD -56.5%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 12.0%, MDD -24.6%, exposure 21%).
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=85, exitN=13 |
19.0% | -57.0% | 1.01 | 0.33 | 100.8x | 74 | 27% |
| 볼린저 밴드 돌파 n=30, k=2.7 |
18.0% | -34.7% | 0.97 | 0.52 | 82.1x | 84 | 24% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=3.6 |
16.2% | -33.9% | 0.91 | 0.48 | 54.3x | 74 | 25% |
| ADX / DI 방향성 period=36, threshold=20 |
12.0% | -24.6% | 0.78 | 0.49 | 20.5x | 78 | 21% |
| MACD fast=23, slow=64, signal=34 |
19.4% | -56.5% | 0.74 | 0.34 | 112.3x | 160 | 51% |
| SMA 크로스오버 fast=7, slow=65 |
17.3% | -49.2% | 0.70 | 0.35 | 69.9x | 140 | 52% |
| ROC 모멘텀 n=28, threshold=0.11 |
11.5% | -70.1% | 0.63 | 0.16 | 18.2x | 332 | 25% |
| Parabolic SAR step=0.015, maxStep=0.12 |
11.8% | -92.1% | 0.59 | 0.13 | 19.4x | 364 | 50% |
| EMA 크로스오버 fast=7, slow=173 |
12.0% | -78.0% | 0.55 | 0.15 | 20.1x | 80 | 54% |
| Supertrend period=29, mult=4.1 |
12.3% | -75.1% | 0.55 | 0.16 | 21.6x | 136 | 50% |
| Buy and hold | 1.4% | -90.8% | 0.33 | 0.02 | 1.5x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 13 days