Trend-Following Backtester · Guide · backtest 한국어
equity · CA
ATS Corporation backtest
10 trend-following strategies were compared on the full daily history of ATS Corporation. 2 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 9.2%, MDD -66.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.8%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -66.2%, Sharpe 0.42, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 9.2%, MDD -66.2%, exposure 84%).
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=4, exitN=40 |
9.2% | -66.2% | 0.42 | 0.14 | 14.5x | 177 | 84% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
3.2% | -24.9% | 0.34 | 0.13 | 2.6x | 28 | 8% |
| ROC 모멘텀 n=130, threshold=0.13 |
5.3% | -71.3% | 0.34 | 0.07 | 4.8x | 226 | 35% |
| Supertrend period=23, mult=5 |
4.8% | -64.7% | 0.31 | 0.07 | 4.1x | 108 | 56% |
| MACD fast=17, slow=42, signal=24 |
2.4% | -65.9% | 0.23 | 0.04 | 2.1x | 302 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=3.8 |
2.5% | -50.2% | 0.23 | 0.05 | 2.1x | 80 | 26% |
| ADX / DI 방향성 period=43, threshold=20 |
1.8% | -51.8% | 0.22 | 0.03 | 1.7x | 40 | 9% |
| SMA 크로스오버 fast=51, slow=205 |
1.4% | -86.6% | 0.19 | 0.02 | 1.5x | 46 | 53% |
| Parabolic SAR step=0.02, maxStep=0.3 |
1.2% | -80.1% | 0.19 | 0.02 | 1.4x | 594 | 51% |
| EMA 크로스오버 fast=10, slow=24 |
1.1% | -76.9% | 0.18 | 0.01 | 1.4x | 276 | 55% |
| Buy and hold | 4.8% | -92.5% | 0.32 | 0.05 | 4.2x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 40 days