Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Quinenco S.A. backtest
10 trend-following strategies were compared on the full daily history of Quinenco S.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -99.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -99.0%, Sharpe 0.27, 90% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=8, exitN=94 |
4.2% | -99.0% | 0.27 | 0.04 | 2.9x | 105 | 90% |
| ROC 모멘텀 n=141, threshold=-0.09 |
4.0% | -99.4% | 0.27 | 0.04 | 2.8x | 155 | 77% |
| SMA 크로스오버 fast=43, slow=154 |
-12.8% | -99.6% | 0.19 | -0.13 | 0.0x | 48 | 57% |
| EMA 크로스오버 fast=36, slow=128 |
-13.8% | -99.7% | 0.19 | -0.14 | 0.0x | 50 | 57% |
| ADX / DI 방향성 period=20, threshold=28 |
-0.7% | -99.3% | 0.19 | -0.01 | 0.8x | 84 | 11% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-17.9% | -100.0% | 0.19 | -0.18 | 0.0x | 369 | 50% |
| Supertrend period=8, mult=4.8 |
-18.6% | -100.0% | 0.19 | -0.19 | 0.0x | 173 | 59% |
| 볼린저 밴드 돌파 n=22, k=1.5 |
-18.5% | -100.0% | 0.19 | -0.19 | 0.0x | 293 | 36% |
| MACD fast=18, slow=31, signal=21 |
-18.9% | -100.0% | 0.19 | -0.19 | 0.0x | 289 | 48% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=19, mult=2.1 |
-20.0% | -100.0% | 0.19 | -0.20 | 0.0x | 219 | 34% |
| Buy and hold | 7.7% | -99.0% | 0.28 | 0.08 | 7.1x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 94 days