Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Matas A/S backtest
10 trend-following strategies were compared on the full daily history of Matas A/S. 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 -0.1%, MDD -12.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.1%, drawdown -77.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.4%, MDD -55.9%, Sharpe 0.22, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR -0.1%, MDD -12.6%, exposure 2%).
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=38, exitN=53 |
2.4% | -55.9% | 0.22 | 0.04 | 1.4x | 34 | 59% |
| ROC 모멘텀 n=122, threshold=-0.02 |
2.3% | -53.6% | 0.21 | 0.04 | 1.3x | 74 | 50% |
| 볼린저 밴드 돌파 n=41, k=3 |
1.7% | -29.2% | 0.19 | 0.06 | 1.2x | 30 | 18% |
| EMA 크로스오버 fast=21, slow=211 |
1.5% | -58.1% | 0.17 | 0.03 | 1.2x | 18 | 44% |
| Parabolic SAR step=0.025, maxStep=0.12 |
1.1% | -53.2% | 0.16 | 0.02 | 1.2x | 265 | 47% |
| SMA 크로스오버 fast=43, slow=270 |
1.2% | -50.4% | 0.16 | 0.02 | 1.2x | 12 | 42% |
| MACD fast=11, slow=22, signal=7 |
1.1% | -52.6% | 0.16 | 0.02 | 1.1x | 247 | 50% |
| ADX / DI 방향성 period=34, threshold=28 |
-0.1% | -12.6% | 0.00 | -0.01 | 1.0x | 6 | 2% |
| Supertrend period=25, mult=3.9 |
-2.1% | -57.1% | -0.01 | -0.04 | 0.8x | 62 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=29, mult=1.9 |
-2.0% | -47.0% | -0.04 | -0.04 | 0.8x | 76 | 35% |
| Buy and hold | -2.1% | -77.6% | 0.07 | -0.03 | 0.8x | 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 38 days
- Sell — Sell when price breaks below the lowest low of the last 53 days