Trend-Following Backtester · Guide · backtest 한국어
equity · CH
SoftwareOne Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of SoftwareOne Holding 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 6.3%, MDD -14.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.3%, drawdown -83.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.3%, MDD -14.8%, Sharpe 0.49, 12% exposure.
CAGR reference leader: Supertrend — CAGR 7.4%, MDD -49.6%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.7%p higher than buy and hold, while drawdown improves by 69.2%p (CAGR 6.3%, MDD -14.8%, exposure 12%).
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=16, atrPeriod=23, mult=2.5 |
6.3% | -14.8% | 0.49 | 0.43 | 1.5x | 18 | 12% |
| Supertrend period=16, mult=3.2 |
7.4% | -49.6% | 0.40 | 0.15 | 1.6x | 37 | 50% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
4.0% | -22.3% | 0.34 | 0.18 | 1.3x | 9 | 17% |
| Donchian 채널 돌파 entryN=4, exitN=45 |
3.3% | -65.8% | 0.27 | 0.05 | 1.2x | 47 | 80% |
| Parabolic SAR step=0.015, maxStep=0.38 |
3.5% | -42.8% | 0.26 | 0.08 | 1.3x | 111 | 48% |
| MACD fast=18, slow=25, signal=4 |
3.0% | -59.2% | 0.25 | 0.05 | 1.2x | 139 | 50% |
| SMA 크로스오버 fast=47, slow=207 |
2.3% | -31.4% | 0.21 | 0.07 | 1.2x | 9 | 40% |
| ADX / DI 방향성 period=13, threshold=35 |
1.2% | -17.2% | 0.17 | 0.07 | 1.1x | 20 | 9% |
| ROC 모멘텀 n=144, threshold=0.12 |
0.8% | -32.8% | 0.14 | 0.02 | 1.1x | 48 | 29% |
| EMA 크로스오버 fast=14, slow=100 |
-1.6% | -38.4% | 0.05 | -0.04 | 0.9x | 17 | 40% |
| Buy and hold | -13.3% | -83.9% | -0.08 | -0.16 | 0.4x | 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 16-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average