Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Trisura Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Trisura Group Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.6%, MDD -29.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.3%, drawdown -40.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.4%, MDD -21.1%, Sharpe 0.89, 24% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 21.8%, MDD -41.1%, exposure 69%.
Return/drawdown alternative: Supertrend — CAGR is 9.0%p lower than buy and hold, while drawdown improves by 19.0%p (CAGR 17.6%, MDD -29.9%, exposure 60%).
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=52, exitN=6 |
13.4% | -21.1% | 0.89 | 0.63 | 3.1x | 48 | 24% |
| ADX / DI 방향성 period=38, threshold=16 |
16.6% | -37.3% | 0.88 | 0.45 | 4.0x | 22 | 26% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=9, mult=2.7 |
15.0% | -25.2% | 0.88 | 0.60 | 3.5x | 32 | 32% |
| ROC 모멘텀 n=141, threshold=-0.03 |
21.8% | -41.1% | 0.85 | 0.53 | 5.9x | 38 | 69% |
| MACD fast=12, slow=36, signal=17 |
18.2% | -39.2% | 0.83 | 0.46 | 4.5x | 98 | 48% |
| SMA 크로스오버 fast=53, slow=182 |
19.8% | -35.9% | 0.80 | 0.55 | 5.1x | 12 | 61% |
| Supertrend period=8, mult=5 |
17.6% | -29.9% | 0.80 | 0.59 | 4.3x | 28 | 60% |
| 볼린저 밴드 돌파 n=39, k=2.4 |
12.0% | -33.5% | 0.72 | 0.36 | 2.8x | 40 | 30% |
| EMA 크로스오버 fast=8, slow=171 |
15.6% | -40.9% | 0.67 | 0.38 | 3.7x | 32 | 63% |
| Parabolic SAR step=0.005, maxStep=0.28 |
13.2% | -41.7% | 0.65 | 0.32 | 3.1x | 71 | 54% |
| Buy and hold | 22.3% | -40.1% | 0.77 | 0.56 | 6.1x | 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 52 days
- Sell — Sell when price breaks below the lowest low of the last 6 days