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 28.8%, MDD -35.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 25.6%, drawdown -67.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.8%, MDD -35.1%, Sharpe 1.37, 63% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 30.3%, MDD -42.0%, exposure 70%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 28.8%, 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 |
28.8% | -35.1% | 1.37 | 0.82 | 129.3x | 12 | 63% |
| SMA 크로스오버 fast=25, slow=187 |
30.3% | -42.0% | 1.33 | 0.72 | 162.3x | 14 | 70% |
| 볼린저 밴드 돌파 n=48, k=2.3 |
22.5% | -27.3% | 1.30 | 0.82 | 49.3x | 48 | 41% |
| EMA 크로스오버 fast=51, slow=176 |
29.2% | -42.0% | 1.28 | 0.70 | 137.8x | 13 | 70% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=2.3 |
22.0% | -26.8% | 1.22 | 0.82 | 45.9x | 66 | 50% |
| ROC 모멘텀 n=130, threshold=0.04 |
26.3% | -45.8% | 1.20 | 0.57 | 89.2x | 52 | 68% |
| Supertrend period=19, mult=4.9 |
21.5% | -58.8% | 1.00 | 0.37 | 42.5x | 66 | 68% |
| MACD fast=25, slow=70, signal=32 |
17.2% | -48.4% | 0.92 | 0.35 | 21.0x | 100 | 53% |
| ADX / DI 방향성 period=31, threshold=10 |
18.5% | -67.7% | 0.87 | 0.27 | 26.3x | 116 | 60% |
| Parabolic SAR step=0.015, maxStep=0.28 |
9.8% | -63.2% | 0.59 | 0.16 | 6.1x | 243 | 57% |
| Buy and hold | 25.6% | -67.7% | 0.94 | 0.38 | 79.3x | 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