Trend-Following Backtester · Guide · backtest 한국어
equity · KR
테스 backtest
10 trend-following strategies were compared on the full daily history of 테스. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.6%, MDD -56.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 15.5%, drawdown -87.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.9%, MDD -61.7%, Sharpe 0.70, 80% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 19.6%, MDD -56.3%, exposure 63%).
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=15, exitN=101 |
25.9% | -61.7% | 0.70 | 0.42 | 67.2x | 35 | 80% |
| SMA 크로스오버 fast=20, slow=183 |
19.6% | -56.3% | 0.62 | 0.35 | 26.3x | 35 | 63% |
| Supertrend period=10, mult=3.5 |
17.9% | -70.0% | 0.59 | 0.26 | 20.4x | 72 | 54% |
| EMA 크로스오버 fast=38, slow=74 |
17.7% | -59.5% | 0.58 | 0.30 | 19.6x | 43 | 61% |
| ROC 모멘텀 n=102, threshold=0.05 |
17.0% | -62.5% | 0.58 | 0.27 | 17.6x | 171 | 56% |
| ADX / DI 방향성 period=25, threshold=14 |
9.1% | -66.4% | 0.42 | 0.14 | 4.9x | 154 | 44% |
| 볼린저 밴드 돌파 n=50, k=0.9 |
5.8% | -74.9% | 0.34 | 0.08 | 2.8x | 136 | 43% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=19, mult=1 |
3.2% | -72.6% | 0.28 | 0.04 | 1.8x | 152 | 46% |
| MACD fast=19, slow=57, signal=22 |
2.5% | -83.1% | 0.27 | 0.03 | 1.6x | 176 | 49% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.5% | -87.9% | 0.16 | -0.02 | 0.8x | 323 | 51% |
| Buy and hold | 15.5% | -87.4% | 0.54 | 0.18 | 14.0x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 101 days