Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Disco Corporation backtest
10 trend-following strategies were compared on the full daily history of Disco Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.4%, MDD -54.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.9%, drawdown -86.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -66.3%, Sharpe 0.64, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 15.4%, MDD -54.6%, exposure 59%).
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=26, exitN=66 |
17.6% | -66.3% | 0.64 | 0.27 | 63.5x | 56 | 72% |
| SMA 크로스오버 fast=35, slow=66 |
15.4% | -54.6% | 0.61 | 0.28 | 38.8x | 87 | 59% |
| EMA 크로스오버 fast=36, slow=54 |
12.6% | -62.2% | 0.54 | 0.20 | 20.8x | 76 | 59% |
| ROC 모멘텀 n=71, threshold=0 |
10.9% | -69.1% | 0.49 | 0.16 | 14.1x | 272 | 58% |
| 볼린저 밴드 돌파 n=60, k=1.4 |
7.6% | -59.3% | 0.40 | 0.13 | 6.5x | 126 | 44% |
| Supertrend period=9, mult=4.4 |
6.9% | -75.2% | 0.37 | 0.09 | 5.6x | 128 | 55% |
| ADX / DI 방향성 period=34, threshold=8 |
6.5% | -66.8% | 0.36 | 0.10 | 5.0x | 324 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=3 |
4.8% | -64.0% | 0.31 | 0.07 | 3.3x | 110 | 36% |
| MACD fast=12, slow=47, signal=16 |
0.3% | -78.7% | 0.16 | 0.00 | 1.1x | 382 | 52% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-1.0% | -90.6% | 0.13 | -0.01 | 0.8x | 520 | 54% |
| Buy and hold | 13.9% | -86.4% | 0.52 | 0.16 | 28.2x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 66 days