Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Pet Valu Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Pet Valu Holdings Ltd.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.0%, MDD -11.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.2%, drawdown -60.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -13.3%, Sharpe 0.59, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 5.0%, MDD -11.7%, exposure 20%).
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=85, exitN=24 |
6.2% | -13.3% | 0.59 | 0.47 | 1.4x | 6 | 22% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
5.6% | -17.0% | 0.51 | 0.33 | 1.3x | 8 | 25% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=3.3 |
5.0% | -11.7% | 0.51 | 0.43 | 1.3x | 6 | 20% |
| ROC 모멘텀 n=84, threshold=0.12 |
4.9% | -17.6% | 0.44 | 0.28 | 1.3x | 32 | 24% |
| Supertrend period=9, mult=4.4 |
4.2% | -34.9% | 0.29 | 0.12 | 1.2x | 13 | 52% |
| SMA 크로스오버 fast=33, slow=86 |
2.2% | -25.3% | 0.21 | 0.09 | 1.1x | 20 | 44% |
| EMA 크로스오버 fast=28, slow=146 |
1.4% | -30.0% | 0.17 | 0.05 | 1.1x | 10 | 36% |
| ADX / DI 방향성 period=17, threshold=21 |
-0.8% | -30.4% | 0.03 | -0.03 | 1.0x | 48 | 26% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-9.2% | -56.0% | -0.31 | -0.16 | 0.6x | 76 | 55% |
| MACD fast=29, slow=69, signal=17 |
-9.2% | -50.6% | -0.33 | -0.18 | 0.6x | 40 | 51% |
| Buy and hold | -7.2% | -60.3% | -0.08 | -0.12 | 0.7x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 24 days