Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Plaza SA backtest
10 trend-following strategies were compared on the full daily history of Plaza SA. 4 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 19.8%, MDD -23.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.6%, drawdown -64.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.8%, MDD -23.4%, Sharpe 1.00, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 19.8%, MDD -23.4%, exposure 53%).
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=98, exitN=37 |
19.8% | -23.4% | 1.00 | 0.85 | 4.3x | 8 | 53% |
| SMA 크로스오버 fast=50, slow=190 |
19.3% | -38.0% | 0.88 | 0.51 | 4.2x | 7 | 59% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
10.9% | -13.8% | 0.82 | 0.79 | 2.3x | 14 | 21% |
| Supertrend period=13, mult=4.8 |
18.5% | -33.1% | 0.80 | 0.56 | 4.0x | 14 | 70% |
| EMA 크로스오버 fast=68, slow=172 |
16.8% | -37.9% | 0.80 | 0.44 | 3.5x | 5 | 58% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=25, mult=3.5 |
11.2% | -16.0% | 0.78 | 0.70 | 2.4x | 16 | 22% |
| ROC 모멘텀 n=125, threshold=-0.04 |
12.0% | -58.4% | 0.60 | 0.21 | 2.5x | 56 | 67% |
| ADX / DI 방향성 period=16, threshold=29 |
8.0% | -24.2% | 0.59 | 0.33 | 1.9x | 36 | 24% |
| Parabolic SAR step=0.005, maxStep=0.28 |
7.4% | -33.9% | 0.42 | 0.22 | 1.8x | 61 | 58% |
| MACD fast=19, slow=99, signal=18 |
7.2% | -42.9% | 0.42 | 0.17 | 1.8x | 66 | 50% |
| Buy and hold | 13.6% | -64.9% | 0.55 | 0.21 | 2.8x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 37 days