Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sammaan Capital Ltd backtest
10 trend-following strategies were compared on the full daily history of Sammaan Capital Ltd. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.5%, MDD -42.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.4%, drawdown -93.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.8%, MDD -43.6%, Sharpe 0.51, 23% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 50.1%p (CAGR 5.5%, MDD -42.4%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=2.7 |
9.8% | -43.6% | 0.51 | 0.22 | 3.4x | 62 | 23% |
| ROC 모멘텀 n=150, threshold=0.07 |
8.6% | -56.4% | 0.44 | 0.15 | 2.9x | 81 | 45% |
| Donchian 채널 돌파 entryN=53, exitN=109 |
7.1% | -66.5% | 0.37 | 0.11 | 2.4x | 17 | 64% |
| ADX / DI 방향성 period=18, threshold=24 |
5.1% | -44.7% | 0.35 | 0.12 | 1.9x | 66 | 21% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=15, mult=2.6 |
5.5% | -42.4% | 0.35 | 0.13 | 2.0x | 46 | 26% |
| SMA 크로스오버 fast=30, slow=146 |
5.1% | -72.2% | 0.32 | 0.07 | 1.9x | 33 | 48% |
| EMA 크로스오버 fast=60, slow=108 |
4.5% | -63.4% | 0.30 | 0.07 | 1.8x | 23 | 49% |
| Supertrend period=14, mult=2.6 |
4.3% | -76.9% | 0.29 | 0.06 | 1.7x | 94 | 52% |
| MACD fast=6, slow=30, signal=15 |
-3.2% | -83.7% | 0.10 | -0.04 | 0.7x | 252 | 51% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-3.2% | -72.9% | 0.08 | -0.04 | 0.7x | 352 | 50% |
| Buy and hold | -3.4% | -93.7% | 0.21 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 22-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 22-day middle average