Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Channel Infrastructure NZ Limited backtest
10 trend-following strategies were compared on the full daily history of Channel Infrastructure NZ Limited. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.5%, MDD -40.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.5%, drawdown -94.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.0%, MDD -54.7%, Sharpe 0.70, 55% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 10.5%, MDD -40.5%, exposure 48%).
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=113, exitN=99 |
12.0% | -54.7% | 0.70 | 0.22 | 20.5x | 25 | 55% |
| EMA 크로스오버 fast=21, slow=129 |
11.3% | -63.0% | 0.65 | 0.18 | 17.2x | 55 | 55% |
| ROC 모멘텀 n=135, threshold=0.04 |
10.5% | -40.5% | 0.65 | 0.26 | 14.1x | 137 | 48% |
| SMA 크로스오버 fast=37, slow=126 |
11.2% | -55.1% | 0.64 | 0.20 | 16.8x | 41 | 57% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=1.9 |
9.8% | -48.3% | 0.61 | 0.20 | 11.9x | 141 | 43% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
9.0% | -46.1% | 0.59 | 0.19 | 9.8x | 109 | 39% |
| Supertrend period=11, mult=4.7 |
8.7% | -59.8% | 0.53 | 0.15 | 9.2x | 121 | 55% |
| ADX / DI 방향성 period=31, threshold=24 |
5.5% | -45.3% | 0.50 | 0.12 | 4.2x | 50 | 16% |
| Parabolic SAR step=0.005, maxStep=0.24 |
3.6% | -80.1% | 0.28 | 0.04 | 2.6x | 173 | 51% |
| MACD fast=24, slow=33, signal=16 |
-1.7% | -83.0% | 0.01 | -0.02 | 0.6x | 313 | 50% |
| Buy and hold | 5.5% | -94.3% | 0.33 | 0.06 | 4.1x | 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 113 days
- Sell — Sell when price breaks below the lowest low of the last 99 days