Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Chemtrade Logistics Income Fund backtest
10 trend-following strategies were compared on the full daily history of Chemtrade Logistics Income Fund. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -16.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.3%, drawdown -84.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.7%, MDD -22.8%, Sharpe 0.39, 18% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.8%, MDD -67.5%, exposure 92%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 61.3%p (CAGR 2.3%, MDD -16.1%, exposure 8%).
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=47, atrPeriod=9, mult=4 |
3.7% | -22.8% | 0.39 | 0.16 | 2.5x | 40 | 18% |
| ADX / DI 방향성 period=35, threshold=25 |
2.3% | -16.1% | 0.37 | 0.15 | 1.8x | 30 | 8% |
| ROC 모멘텀 n=26, threshold=-0.12 |
3.8% | -67.5% | 0.27 | 0.06 | 2.5x | 127 | 92% |
| Donchian 채널 돌파 entryN=46, exitN=66 |
3.4% | -61.2% | 0.26 | 0.06 | 2.3x | 56 | 65% |
| SMA 크로스오버 fast=37, slow=78 |
2.5% | -58.4% | 0.22 | 0.04 | 1.9x | 98 | 55% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
1.4% | -29.2% | 0.22 | 0.05 | 1.4x | 22 | 11% |
| Supertrend period=8, mult=3.5 |
1.8% | -62.6% | 0.19 | 0.03 | 1.6x | 128 | 54% |
| EMA 크로스오버 fast=61, slow=75 |
1.6% | -63.0% | 0.18 | 0.03 | 1.5x | 58 | 59% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.1% | -75.2% | 0.10 | -0.00 | 1.0x | 297 | 53% |
| MACD fast=14, slow=55, signal=15 |
-1.2% | -73.6% | 0.05 | -0.02 | 0.7x | 308 | 50% |
| Buy and hold | 1.3% | -84.1% | 0.20 | 0.02 | 1.4x | 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 47-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average