Trend-Following Backtester · Guide · backtest 한국어
equity · CH
DocMorris Ltd backtest
10 trend-following strategies were compared on the full daily history of DocMorris Ltd. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.6%, MDD -21.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.1%, drawdown -99.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.6%, MDD -21.7%, Sharpe 0.92, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.5%, MDD -49.6%, exposure 39%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 41.8%p higher than buy and hold, while drawdown improves by 77.5%p (CAGR 18.6%, MDD -21.7%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=10, mult=3.2 |
18.6% | -21.7% | 0.92 | 0.86 | 4.8x | 12 | 13% |
| SMA 크로스오버 fast=32, slow=233 |
25.5% | -49.6% | 0.82 | 0.51 | 8.2x | 7 | 39% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
21.3% | -35.6% | 0.80 | 0.60 | 5.9x | 25 | 28% |
| ADX / DI 방향성 period=15, threshold=29 |
17.8% | -31.3% | 0.78 | 0.57 | 4.5x | 32 | 16% |
| EMA 크로스오버 fast=19, slow=33 |
22.3% | -67.2% | 0.72 | 0.33 | 6.4x | 33 | 41% |
| ROC 모멘텀 n=148, threshold=0.05 |
21.1% | -58.6% | 0.71 | 0.36 | 5.9x | 45 | 38% |
| Supertrend period=35, mult=3.4 |
19.1% | -73.4% | 0.67 | 0.26 | 5.0x | 43 | 38% |
| Donchian 채널 돌파 entryN=91, exitN=6 |
12.1% | -38.8% | 0.60 | 0.31 | 2.9x | 33 | 14% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.2% | -87.2% | 0.23 | -0.00 | 1.0x | 75 | 43% |
| MACD fast=27, slow=58, signal=19 |
-4.4% | -92.6% | 0.18 | -0.05 | 0.7x | 67 | 57% |
| Buy and hold | -23.1% | -99.2% | -0.09 | -0.23 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 31-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average