Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Sun Life Financial Inc. backtest
10 trend-following strategies were compared on the full daily history of Sun Life Financial Inc.. 0 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 7.5%, MDD -45.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -73.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -45.3%, Sharpe 0.48, 78% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 7.5%, MDD -45.3%, exposure 78%).
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=35, exitN=89 |
7.5% | -45.3% | 0.48 | 0.17 | 6.8x | 39 | 78% |
| Supertrend period=15, mult=5 |
3.6% | -51.8% | 0.30 | 0.07 | 2.6x | 80 | 60% |
| EMA 크로스오버 fast=27, slow=46 |
3.2% | -49.6% | 0.27 | 0.06 | 2.3x | 103 | 61% |
| ROC 모멘텀 n=23, threshold=-0.09 |
3.6% | -73.9% | 0.27 | 0.05 | 2.5x | 167 | 94% |
| SMA 크로스오버 fast=8, slow=94 |
2.3% | -54.4% | 0.22 | 0.04 | 1.8x | 117 | 60% |
| ADX / DI 방향성 period=46, threshold=28 |
0.6% | -15.3% | 0.20 | 0.04 | 1.2x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.9% | -67.3% | 0.14 | 0.01 | 1.3x | 246 | 56% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
-0.7% | -71.0% | 0.03 | -0.01 | 0.8x | 192 | 47% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=2.9 |
-1.4% | -63.0% | -0.06 | -0.02 | 0.7x | 106 | 31% |
| MACD fast=16, slow=29, signal=13 |
-4.4% | -80.5% | -0.16 | -0.05 | 0.3x | 406 | 51% |
| Buy and hold | 8.0% | -73.1% | 0.42 | 0.11 | 7.7x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 89 days