Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Schouw & Co backtest
10 trend-following strategies were compared on the full daily history of Schouw & Co. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -76.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.6%, MDD -24.5%, Sharpe 0.54, 10% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.5%, MDD -67.3%, exposure 79%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=2.7 |
5.6% | -24.5% | 0.54 | 0.23 | 4.2x | 65 | 10% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
3.6% | -21.0% | 0.48 | 0.17 | 2.6x | 29 | 9% |
| ADX / DI 방향성 period=8, threshold=41 |
5.1% | -45.7% | 0.44 | 0.11 | 3.8x | 175 | 14% |
| ROC 모멘텀 n=148, threshold=-0.11 |
8.5% | -67.3% | 0.44 | 0.13 | 8.9x | 113 | 79% |
| SMA 크로스오버 fast=52, slow=175 |
7.1% | -60.4% | 0.43 | 0.12 | 6.2x | 34 | 61% |
| Supertrend period=20, mult=3.8 |
6.3% | -49.7% | 0.40 | 0.13 | 5.1x | 121 | 56% |
| EMA 크로스오버 fast=53, slow=177 |
6.1% | -65.7% | 0.38 | 0.09 | 4.9x | 35 | 63% |
| Parabolic SAR step=0.015, maxStep=0.08 |
6.5% | -64.7% | 0.38 | 0.10 | 5.3x | 377 | 53% |
| Donchian 채널 돌파 entryN=86, exitN=53 |
5.1% | -50.3% | 0.36 | 0.10 | 3.8x | 45 | 48% |
| MACD fast=12, slow=42, signal=10 |
0.7% | -72.4% | 0.14 | 0.01 | 1.2x | 443 | 48% |
| Buy and hold | 11.2% | -76.9% | 0.49 | 0.15 | 17.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average