Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Vulcabras SA backtest
10 trend-following strategies were compared on the full daily history of Vulcabras SA. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR -16.2%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -9.1%, MDD -100.0%, Sharpe 0.39, 34% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=90, exitN=10 |
-9.1% | -100.0% | 0.39 | -0.09 | 0.1x | 62 | 34% |
| EMA 크로스오버 fast=21, slow=112 |
-13.5% | -100.0% | 0.36 | -0.13 | 0.0x | 40 | 38% |
| ROC 모멘텀 n=86, threshold=-0.02 |
-28.2% | -100.0% | 0.34 | -0.28 | 0.0x | 208 | 61% |
| Supertrend period=11, mult=4.8 |
-16.4% | -100.0% | 0.32 | -0.16 | 0.0x | 90 | 39% |
| SMA 크로스오버 fast=35, slow=55 |
-18.3% | -100.0% | 0.31 | -0.18 | 0.0x | 100 | 36% |
| ADX / DI 방향성 period=28, threshold=11 |
-18.8% | -100.0% | 0.29 | -0.19 | 0.0x | 162 | 31% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
-20.1% | -100.0% | 0.26 | -0.20 | 0.0x | 80 | 26% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-23.1% | -100.0% | 0.21 | -0.23 | 0.0x | 128 | 30% |
| MACD fast=14, slow=37, signal=24 |
-26.3% | -100.0% | 0.20 | -0.26 | 0.0x | 235 | 64% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=19, mult=3.2 |
-23.4% | -100.0% | 0.18 | -0.23 | 0.0x | 80 | 23% |
| Buy and hold | -16.2% | -100.0% | 0.22 | -0.16 | 0.0x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 10 days