Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Parque Arauco S.A. backtest
10 trend-following strategies were compared on the full daily history of Parque Arauco S.A.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.7%, MDD -30.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.4%, drawdown -69.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.6%, MDD -40.2%, Sharpe 0.74, 51% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.0%, MDD -47.2%, exposure 60%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 9.7%, MDD -30.4%, exposure 28%).
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=118, exitN=60 |
12.6% | -40.2% | 0.74 | 0.31 | 23.7x | 31 | 51% |
| EMA 크로스오버 fast=41, slow=85 |
13.0% | -47.2% | 0.73 | 0.28 | 25.9x | 39 | 60% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=4 |
9.7% | -30.4% | 0.73 | 0.32 | 11.8x | 68 | 28% |
| SMA 크로스오버 fast=55, slow=240 |
12.3% | -49.1% | 0.68 | 0.25 | 22.0x | 23 | 60% |
| ROC 모멘텀 n=111, threshold=-0.04 |
11.9% | -50.4% | 0.65 | 0.24 | 19.9x | 141 | 66% |
| Supertrend period=13, mult=4.7 |
11.7% | -38.4% | 0.64 | 0.30 | 18.9x | 124 | 60% |
| ADX / DI 방향성 period=47, threshold=17 |
7.9% | -35.0% | 0.63 | 0.23 | 7.6x | 64 | 24% |
| Parabolic SAR step=0.005, maxStep=0.2 |
10.2% | -37.7% | 0.60 | 0.27 | 13.3x | 185 | 52% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
8.9% | -41.8% | 0.58 | 0.21 | 9.6x | 123 | 44% |
| MACD fast=18, slow=31, signal=14 |
5.0% | -56.2% | 0.35 | 0.09 | 3.7x | 331 | 50% |
| Buy and hold | 10.4% | -69.5% | 0.49 | 0.15 | 13.8x | 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 118 days
- Sell — Sell when price breaks below the lowest low of the last 60 days