Trend-Following Backtester · Guide · backtest 한국어

equity · CL

AntarChile S.A. backtest

10 trend-following strategies were compared on the full daily history of AntarChile S.A.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -17.4%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,716 (26.6 years)Costs 0.5%Venue BCSMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -17.0%, drawdown -99.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -56.7%, Sharpe 0.41, 60% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.4%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 1.8%, MDD -17.4%, exposure 4%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=94, exitN=103
5.4%-56.7%0.410.104.0x2660%
ADX / DI 방향성
period=49, threshold=30
1.8%-17.4%0.410.101.6x84%
SMA 크로스오버
fast=58, slow=200
4.5%-47.0%0.370.103.2x3254%
볼린저 밴드 돌파
n=50, k=2.2
2.4%-53.9%0.260.041.9x9633%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=21, mult=3.7
2.1%-48.2%0.240.041.8x9432%
ROC 모멘텀
n=87, threshold=0.14
1.5%-32.9%0.200.041.5x14816%
EMA 크로스오버
fast=52, slow=134
1.8%-53.9%0.200.031.6x4650%
Parabolic SAR
step=0.01, maxStep=0.16
0.1%-67.2%0.080.001.0x30651%
Supertrend
period=25, mult=4.1
-0.6%-65.2%0.04-0.010.8x19053%
MACD
fast=14, slow=49, signal=16
-2.4%-81.5%-0.08-0.030.5x33352%
Buy and hold-17.0%-99.9%0.13-0.170.0x1100%
0.01 0.1 1x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -56.7% (2010-11-11 → 2016-06-28), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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