Trend-Following Backtester · Guide · backtest 한국어
equity · BR
SLC Agricola S.A. backtest
10 trend-following strategies were compared on the full daily history of SLC Agricola S.A.. 0 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 8.1%, MDD -37.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -78.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.1%, MDD -37.4%, Sharpe 0.50, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.3%, MDD -49.7%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 41.1%p (CAGR 8.1%, MDD -37.4%, exposure 24%).
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=76, atrPeriod=21, mult=3.7 |
8.1% | -37.4% | 0.50 | 0.22 | 4.4x | 33 | 24% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
7.4% | -41.9% | 0.49 | 0.18 | 3.9x | 37 | 21% |
| SMA 크로스오버 fast=22, slow=68 |
8.3% | -49.7% | 0.44 | 0.17 | 4.7x | 73 | 52% |
| Donchian 채널 돌파 entryN=99, exitN=29 |
6.9% | -40.4% | 0.43 | 0.17 | 3.6x | 36 | 29% |
| ADX / DI 방향성 period=37, threshold=26 |
4.6% | -30.7% | 0.41 | 0.15 | 2.4x | 12 | 8% |
| Supertrend period=6, mult=4.2 |
7.4% | -53.1% | 0.40 | 0.14 | 4.0x | 63 | 54% |
| ROC 모멘텀 n=118, threshold=0.11 |
5.2% | -57.5% | 0.33 | 0.09 | 2.6x | 158 | 35% |
| EMA 크로스오버 fast=25, slow=44 |
5.3% | -59.1% | 0.33 | 0.09 | 2.7x | 89 | 52% |
| MACD fast=40, slow=67, signal=14 |
3.0% | -64.8% | 0.25 | 0.05 | 1.8x | 155 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.6% | -73.9% | 0.20 | 0.02 | 1.4x | 165 | 50% |
| Buy and hold | 9.9% | -78.5% | 0.44 | 0.13 | 6.1x | 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 76-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 76-day average