Trend-Following Backtester · Guide · backtest 한국어
equity · IN
National Aluminium Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of National Aluminium Co. Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.1%, MDD -51.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.6%, drawdown -82.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.5%, MDD -58.8%, Sharpe 0.73, 78% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 15.1%, MDD -51.9%, exposure 55%).
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=16, exitN=57 |
23.5% | -58.8% | 0.73 | 0.40 | 315.1x | 60 | 78% |
| EMA 크로스오버 fast=32, slow=104 |
15.1% | -51.9% | 0.58 | 0.29 | 46.5x | 50 | 55% |
| SMA 크로스오버 fast=59, slow=149 |
15.1% | -54.4% | 0.58 | 0.28 | 45.7x | 40 | 57% |
| ROC 모멘텀 n=130, threshold=0 |
14.8% | -63.9% | 0.57 | 0.23 | 43.2x | 176 | 55% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=18, mult=0.9 |
11.1% | -62.7% | 0.49 | 0.18 | 17.6x | 188 | 50% |
| Supertrend period=8, mult=4.3 |
11.3% | -59.6% | 0.48 | 0.19 | 18.6x | 90 | 57% |
| 볼린저 밴드 돌파 n=72, k=0.9 |
10.4% | -56.4% | 0.47 | 0.18 | 14.7x | 144 | 48% |
| ADX / DI 방향성 period=31, threshold=10 |
8.3% | -66.0% | 0.41 | 0.13 | 8.8x | 290 | 44% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.4% | -81.8% | 0.32 | 0.07 | 4.2x | 236 | 54% |
| MACD fast=13, slow=24, signal=8 |
4.4% | -77.3% | 0.30 | 0.06 | 3.3x | 531 | 51% |
| Buy and hold | 15.6% | -82.1% | 0.55 | 0.19 | 52.3x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 57 days