Trend-Following Backtester · Guide · backtest 한국어
equity · IL
BIG Shopping Centers Ltd. backtest
10 trend-following strategies were compared on the full daily history of BIG Shopping Centers Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.0%, MDD -33.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -61.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.0%, MDD -33.7%, Sharpe 0.72, 59% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.4%, MDD -51.4%, exposure 62%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 28.0%p (CAGR 11.0%, MDD -33.7%, exposure 59%).
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=70, exitN=65 |
11.0% | -33.7% | 0.72 | 0.33 | 8.1x | 22 | 59% |
| SMA 크로스오버 fast=35, slow=152 |
11.4% | -51.4% | 0.71 | 0.22 | 8.7x | 20 | 62% |
| EMA 크로스오버 fast=53, slow=88 |
9.5% | -51.4% | 0.61 | 0.18 | 6.1x | 24 | 64% |
| Supertrend period=24, mult=4.9 |
8.9% | -35.0% | 0.60 | 0.26 | 5.5x | 44 | 60% |
| ROC 모멘텀 n=107, threshold=-0.07 |
9.6% | -49.2% | 0.59 | 0.19 | 6.2x | 94 | 74% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=10, mult=2.6 |
6.1% | -38.8% | 0.51 | 0.16 | 3.3x | 60 | 44% |
| 볼린저 밴드 돌파 n=53, k=2.5 |
5.2% | -33.1% | 0.48 | 0.16 | 2.8x | 46 | 31% |
| ADX / DI 방향성 period=10, threshold=48 |
1.7% | -23.7% | 0.30 | 0.07 | 1.4x | 24 | 5% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.0% | -60.3% | 0.22 | 0.03 | 1.5x | 127 | 59% |
| MACD fast=24, slow=36, signal=25 |
-2.9% | -78.7% | -0.05 | -0.04 | 0.6x | 165 | 51% |
| Buy and hold | 12.4% | -61.7% | 0.61 | 0.20 | 10.4x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 65 days