Trend-Following Backtester · Guide · backtest 한국어
equity · PE
Minsur SA backtest
10 trend-following strategies were compared on the full daily history of Minsur SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.3%, MDD -34.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.7%, drawdown -90.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.5%, MDD -44.7%, Sharpe 0.95, 20% exposure.
CAGR reference leader: Supertrend — CAGR 17.1%, MDD -39.5%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 13.3%, MDD -34.1%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=2.7 |
15.5% | -44.7% | 0.95 | 0.35 | 14.6x | 61 | 20% |
| ADX / DI 방향성 period=15, threshold=28 |
14.3% | -47.4% | 0.81 | 0.30 | 12.0x | 121 | 27% |
| Donchian 채널 돌파 entryN=64, exitN=11 |
13.3% | -34.1% | 0.80 | 0.39 | 10.3x | 77 | 25% |
| Supertrend period=9, mult=2.7 |
17.1% | -39.5% | 0.76 | 0.43 | 19.2x | 257 | 53% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=25, mult=4 |
13.1% | -47.0% | 0.75 | 0.28 | 10.0x | 79 | 34% |
| Parabolic SAR step=0.055, maxStep=0.44 |
16.7% | -56.3% | 0.74 | 0.30 | 17.7x | 437 | 52% |
| SMA 크로스오버 fast=23, slow=82 |
13.4% | -49.9% | 0.62 | 0.27 | 10.4x | 63 | 49% |
| EMA 크로스오버 fast=43, slow=44 |
12.2% | -58.4% | 0.58 | 0.21 | 8.6x | 61 | 52% |
| ROC 모멘텀 n=66, threshold=0.08 |
10.9% | -43.4% | 0.58 | 0.25 | 6.9x | 181 | 33% |
| MACD fast=6, slow=32, signal=11 |
7.6% | -47.5% | 0.42 | 0.16 | 3.9x | 341 | 47% |
| Buy and hold | 4.7% | -90.7% | 0.31 | 0.05 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 23-day middle average