Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Redington Limited backtest
10 trend-following strategies were compared on the full daily history of Redington Limited. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.2%, MDD -43.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.1%, drawdown -80.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.3%, MDD -45.0%, Sharpe 0.75, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 19.2%, MDD -43.5%, exposure 57%).
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=37, exitN=47 |
22.3% | -45.0% | 0.75 | 0.49 | 50.7x | 33 | 68% |
| Supertrend period=16, mult=4.8 |
21.7% | -45.3% | 0.74 | 0.48 | 46.5x | 33 | 63% |
| SMA 크로스오버 fast=19, slow=76 |
19.2% | -43.5% | 0.70 | 0.44 | 31.1x | 63 | 57% |
| EMA 크로스오버 fast=23, slow=73 |
17.0% | -53.6% | 0.64 | 0.32 | 21.4x | 53 | 62% |
| ADX / DI 방향성 period=40, threshold=17 |
13.3% | -36.3% | 0.61 | 0.37 | 11.4x | 47 | 36% |
| ROC 모멘텀 n=57, threshold=-0.04 |
15.4% | -53.0% | 0.59 | 0.29 | 16.5x | 219 | 65% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
7.7% | -70.3% | 0.40 | 0.11 | 4.2x | 109 | 44% |
| Parabolic SAR step=0.015, maxStep=0.2 |
7.2% | -64.5% | 0.38 | 0.11 | 3.9x | 323 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=1 |
5.9% | -67.7% | 0.34 | 0.09 | 3.0x | 153 | 47% |
| MACD fast=18, slow=51, signal=17 |
4.1% | -70.4% | 0.28 | 0.06 | 2.2x | 189 | 49% |
| Buy and hold | 17.1% | -80.4% | 0.58 | 0.21 | 21.7x | 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 37 days
- Sell — Sell when price breaks below the lowest low of the last 47 days