Trend-Following Backtester · Guide · backtest 한국어
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BNP Paribas Easy MSCI Emerging Min TE backtest
10 trend-following strategies were compared on the full daily history of BNP Paribas Easy MSCI Emerging Min TE. 8 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 24.7%, MDD -19.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.7%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.9%, MDD -32.7%, Sharpe 0.32, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 59.8%p (CAGR 24.7%, MDD -19.0%, exposure 17%).
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=58, exitN=29 |
28.9% | -32.7% | 0.32 | 0.88 | 14.0x | 30 | 51% |
| Supertrend period=19, mult=5 |
28.2% | -32.8% | 0.32 | 0.86 | 13.3x | 50 | 59% |
| 볼린저 밴드 돌파 n=64, k=2 |
24.9% | -33.6% | 0.31 | 0.74 | 10.1x | 42 | 36% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=17, mult=4 |
24.7% | -19.0% | 0.31 | 1.30 | 9.9x | 28 | 17% |
| MACD fast=29, slow=40, signal=20 |
23.0% | -45.0% | 0.31 | 0.51 | 8.6x | 94 | 53% |
| ADX / DI 방향성 period=25, threshold=14 |
23.2% | -35.7% | 0.31 | 0.65 | 8.8x | 70 | 30% |
| ROC 모멘텀 n=42, threshold=0.08 |
20.9% | -37.2% | 0.30 | 0.56 | 7.2x | 86 | 12% |
| EMA 크로스오버 fast=35, slow=64 |
5.1% | -92.4% | 0.30 | 0.06 | 1.7x | 31 | 63% |
| SMA 크로스오버 fast=19, slow=75 |
2.5% | -92.4% | 0.29 | 0.03 | 1.3x | 38 | 61% |
| Parabolic SAR step=0.005, maxStep=0.22 |
16.4% | -60.4% | 0.29 | 0.27 | 4.9x | 96 | 55% |
| Buy and hold | 8.7% | -92.5% | 0.31 | 0.09 | 2.4x | 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 58 days
- Sell — Sell when price breaks below the lowest low of the last 29 days