Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Mega Or Holdings Ltd backtest
10 trend-following strategies were compared on the full daily history of Mega Or Holdings Ltd. 4 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 28.9%, MDD -35.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 26.3%, drawdown -67.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.9%, MDD -35.1%, Sharpe 1.37, 63% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 31.2%, MDD -42.0%, exposure 70%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 28.9%, MDD -35.1%, exposure 63%).
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=104, exitN=73 |
28.9% | -35.1% | 1.37 | 0.82 | 129.3x | 12 | 63% |
| SMA 크로스오버 fast=25, slow=187 |
31.2% | -42.0% | 1.36 | 0.74 | 180.7x | 13 | 70% |
| EMA 크로스오버 fast=51, slow=176 |
30.0% | -42.0% | 1.32 | 0.72 | 152.4x | 13 | 70% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
22.6% | -27.3% | 1.30 | 0.83 | 49.3x | 48 | 41% |
| ROC 모멘텀 n=130, threshold=0.04 |
27.2% | -45.8% | 1.23 | 0.59 | 99.3x | 51 | 68% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=2.3 |
22.1% | -26.8% | 1.22 | 0.83 | 45.9x | 66 | 50% |
| Supertrend period=19, mult=4.9 |
21.6% | -58.8% | 1.00 | 0.37 | 42.5x | 66 | 68% |
| MACD fast=25, slow=70, signal=32 |
17.3% | -48.4% | 0.93 | 0.36 | 21.0x | 100 | 53% |
| ADX / DI 방향성 period=31, threshold=10 |
18.6% | -67.7% | 0.87 | 0.28 | 26.3x | 116 | 61% |
| Parabolic SAR step=0.015, maxStep=0.28 |
10.0% | -63.2% | 0.59 | 0.16 | 6.2x | 242 | 57% |
| Buy and hold | 26.3% | -67.7% | 0.96 | 0.39 | 87.7x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 73 days