Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Dexerials Corp. backtest
10 trend-following strategies were compared on the full daily history of Dexerials Corp.. 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 21.2%, MDD -34.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.0%, drawdown -65.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.2%, MDD -34.0%, Sharpe 0.88, 38% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 21.6%, MDD -37.6%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 21.2%, MDD -34.0%, exposure 38%).
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=53, exitN=16 |
21.2% | -34.0% | 0.88 | 0.62 | 8.3x | 40 | 38% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=3.7 |
16.2% | -30.3% | 0.85 | 0.54 | 5.2x | 26 | 24% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
15.3% | -21.0% | 0.82 | 0.73 | 4.8x | 20 | 22% |
| EMA 크로스오버 fast=28, slow=158 |
21.6% | -37.6% | 0.73 | 0.58 | 8.6x | 19 | 58% |
| SMA 크로스오버 fast=8, slow=96 |
19.0% | -42.6% | 0.69 | 0.45 | 6.8x | 33 | 56% |
| ROC 모멘텀 n=136, threshold=0 |
18.7% | -44.8% | 0.66 | 0.42 | 6.6x | 47 | 57% |
| Supertrend period=13, mult=4.1 |
16.6% | -47.3% | 0.64 | 0.35 | 5.4x | 52 | 55% |
| ADX / DI 방향성 period=7, threshold=23 |
11.0% | -51.1% | 0.50 | 0.22 | 3.2x | 240 | 44% |
| MACD fast=19, slow=71, signal=13 |
7.8% | -64.5% | 0.40 | 0.12 | 2.3x | 130 | 51% |
| Parabolic SAR step=0.04, maxStep=0.12 |
3.5% | -70.5% | 0.27 | 0.05 | 1.5x | 270 | 52% |
| Buy and hold | 18.0% | -65.6% | 0.60 | 0.28 | 6.2x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 16 days