Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Bittium Corporation backtest
10 trend-following strategies were compared on the full daily history of Bittium Corporation. 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 4.8%, MDD -25.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.1%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -50.9%, Sharpe 0.57, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.1%, MDD -69.3%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 49.0%p (CAGR 4.8%, MDD -25.9%, 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=91, exitN=9 |
9.7% | -50.9% | 0.57 | 0.19 | 11.8x | 64 | 14% |
| ADX / DI 방향성 period=39, threshold=38 |
4.8% | -25.9% | 0.50 | 0.18 | 3.5x | 6 | 2% |
| SMA 크로스오버 fast=32, slow=123 |
10.1% | -69.3% | 0.46 | 0.15 | 13.2x | 56 | 47% |
| ROC 모멘텀 n=119, threshold=0.07 |
9.7% | -60.3% | 0.45 | 0.16 | 11.8x | 183 | 40% |
| EMA 크로스오버 fast=13, slow=175 |
9.8% | -72.1% | 0.45 | 0.14 | 12.2x | 57 | 46% |
| 볼린저 밴드 돌파 n=27, k=2.6 |
8.1% | -43.3% | 0.45 | 0.19 | 8.0x | 109 | 22% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=20, mult=2.9 |
5.8% | -55.6% | 0.38 | 0.10 | 4.5x | 91 | 16% |
| Supertrend period=10, mult=5 |
3.7% | -92.7% | 0.33 | 0.04 | 2.6x | 69 | 54% |
| Parabolic SAR step=0.01, maxStep=0.28 |
4.4% | -89.4% | 0.29 | 0.05 | 3.1x | 283 | 44% |
| MACD fast=16, slow=56, signal=19 |
-1.3% | -91.4% | 0.15 | -0.01 | 0.7x | 281 | 51% |
| Buy and hold | -7.1% | -99.9% | 0.16 | -0.07 | 0.1x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 9 days