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 8.0%, MDD -42.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.7%, drawdown -89.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -42.7%, Sharpe 0.45, 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 8.0%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=47, exitN=43 |
8.0% | -42.7% | 0.45 | 0.19 | 10.2x | 79 | 51% |
| EMA 크로스오버 fast=59, slow=88 |
6.5% | -55.8% | 0.38 | 0.12 | 6.8x | 53 | 59% |
| SMA 크로스오버 fast=22, slow=112 |
5.7% | -64.1% | 0.35 | 0.09 | 5.4x | 87 | 57% |
| 볼린저 밴드 돌파 n=45, k=2.5 |
3.6% | -50.2% | 0.29 | 0.07 | 2.9x | 117 | 29% |
| Supertrend period=18, mult=5 |
3.9% | -60.2% | 0.28 | 0.06 | 3.2x | 93 | 55% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=8, mult=2.6 |
3.0% | -54.3% | 0.26 | 0.06 | 2.5x | 136 | 28% |
| ROC 모멘텀 n=75, threshold=-0.04 |
2.4% | -74.9% | 0.22 | 0.03 | 2.0x | 297 | 67% |
| MACD fast=24, slow=51, signal=13 |
1.2% | -85.4% | 0.17 | 0.01 | 1.4x | 324 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.7% | -80.5% | 0.15 | 0.01 | 1.2x | 238 | 53% |
| ADX / DI 방향성 period=24, threshold=30 |
0.6% | -28.6% | 0.13 | 0.02 | 1.2x | 37 | 5% |
| Buy and hold | 6.7% | -89.2% | 0.36 | 0.08 | 7.2x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 43 days