Trend-Following Backtester · Guide · backtest 한국어

equity · CA

Mullen Group Ltd. backtest

10 trend-following strategies were compared on the full daily history of Mullen Group Ltd.. 1 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 8.2%, MDD -42.7%).

Data 1996-04-25 ~ 2026-07-31daily bars 7,605 (30.3 years)Costs 0.5%Venue TSXMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 7.0%, drawdown -89.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -42.7%, Sharpe 0.46, 51% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 8.2%, MDD -42.7%, exposure 51%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=47, exitN=43
8.2%-42.7%0.460.1910.9x7951%
EMA 크로스오버
fast=59, slow=88
6.8%-55.8%0.390.127.2x5359%
SMA 크로스오버
fast=22, slow=112
6.0%-64.1%0.360.095.8x8757%
볼린저 밴드 돌파
n=45, k=2.5
3.8%-50.2%0.310.083.1x11729%
Supertrend
period=18, mult=5
4.1%-60.2%0.290.073.4x9355%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=8, mult=2.6
3.4%-54.3%0.280.062.7x13528%
ROC 모멘텀
n=75, threshold=-0.04
2.6%-74.9%0.230.032.2x29767%
MACD
fast=24, slow=51, signal=13
1.3%-85.4%0.180.021.5x32352%
Parabolic SAR
step=0.005, maxStep=0.34
0.9%-80.5%0.160.011.3x23753%
ADX / DI 방향성
period=24, threshold=30
0.8%-28.6%0.160.031.3x375%
Buy and hold7.0%-89.2%0.370.087.6x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -45% -67% -89% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -42.7% (2020-12-15 → 2024-07-17), recovered after 2,001 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next