Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Dividend 15 Split Corp. Class A backtest
10 trend-following strategies were compared on the full daily history of Dividend 15 Split Corp. Class A. 9 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 0.8%, MDD -21.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.3%, drawdown -84.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.1%, MDD -42.6%, Sharpe 0.41, 63% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 0.8%, MDD -21.1%, exposure 3%).
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=71, exitN=140 |
5.1% | -42.6% | 0.41 | 0.12 | 3.1x | 15 | 63% |
| EMA 크로스오버 fast=58, slow=187 |
2.1% | -34.7% | 0.23 | 0.06 | 1.6x | 19 | 50% |
| SMA 크로스오버 fast=53, slow=203 |
1.8% | -38.6% | 0.20 | 0.05 | 1.5x | 29 | 53% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
1.3% | -41.1% | 0.18 | 0.03 | 1.4x | 44 | 19% |
| ADX / DI 방향성 period=35, threshold=25 |
0.8% | -21.1% | 0.18 | 0.04 | 1.2x | 10 | 3% |
| ROC 모멘텀 n=22, threshold=0.09 |
0.9% | -37.6% | 0.14 | 0.02 | 1.2x | 124 | 8% |
| Supertrend period=17, mult=5 |
0.4% | -64.9% | 0.10 | 0.01 | 1.1x | 72 | 46% |
| MACD fast=24, slow=49, signal=35 |
0.3% | -62.3% | 0.10 | 0.00 | 1.1x | 184 | 52% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=1.6 |
0.2% | -61.4% | 0.08 | 0.00 | 1.1x | 138 | 34% |
| Parabolic SAR step=0.04, maxStep=0.28 |
-3.7% | -87.9% | -0.11 | -0.04 | 0.4x | 635 | 54% |
| Buy and hold | -2.3% | -84.7% | 0.07 | -0.03 | 0.6x | 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 71 days
- Sell — Sell when price breaks below the lowest low of the last 140 days