Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SFA backtest
10 trend-following strategies were compared on the full daily history of SFA. 0 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 10.1%, MDD -59.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -75.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -59.1%, Sharpe 0.48, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 15.9%p (CAGR 10.1%, MDD -59.1%, exposure 47%).
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=79, exitN=62 |
10.1% | -59.1% | 0.48 | 0.17 | 10.7x | 36 | 47% |
| Supertrend period=12, mult=4.6 |
9.1% | -66.9% | 0.44 | 0.14 | 8.6x | 67 | 52% |
| SMA 크로스오버 fast=42, slow=174 |
8.5% | -63.5% | 0.42 | 0.13 | 7.4x | 48 | 52% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
4.1% | -26.7% | 0.41 | 0.15 | 2.7x | 24 | 5% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=26, mult=2.6 |
3.9% | -30.8% | 0.37 | 0.13 | 2.6x | 38 | 5% |
| EMA 크로스오버 fast=44, slow=45 |
6.7% | -62.6% | 0.36 | 0.11 | 4.9x | 80 | 52% |
| ADX / DI 방향성 period=23, threshold=21 |
3.4% | -56.7% | 0.27 | 0.06 | 2.3x | 90 | 16% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.9% | -92.8% | 0.18 | 0.01 | 1.2x | 197 | 51% |
| ROC 모멘텀 n=130, threshold=-0.01 |
0.3% | -80.9% | 0.17 | 0.00 | 1.1x | 234 | 56% |
| MACD fast=18, slow=26, signal=18 |
-2.2% | -88.0% | 0.07 | -0.03 | 0.6x | 339 | 50% |
| Buy and hold | 11.5% | -75.1% | 0.47 | 0.15 | 14.6x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 62 days