Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Benefit Systems S.A. backtest
10 trend-following strategies were compared on the full daily history of Benefit Systems S.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 28.0%, drawdown -62.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.7%, MDD -63.9%, Sharpe 0.90, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=85, exitN=58 |
22.7% | -63.9% | 0.90 | 0.36 | 23.2x | 21 | 63% |
| SMA 크로스오버 fast=34, slow=197 |
21.8% | -63.1% | 0.83 | 0.35 | 20.7x | 21 | 67% |
| EMA 크로스오버 fast=58, slow=181 |
22.3% | -62.3% | 0.83 | 0.36 | 21.9x | 17 | 70% |
| ADX / DI 방향성 period=32, threshold=22 |
12.8% | -21.1% | 0.80 | 0.61 | 6.3x | 38 | 21% |
| 볼린저 밴드 돌파 n=80, k=1 |
18.1% | -47.3% | 0.80 | 0.38 | 12.8x | 61 | 54% |
| Supertrend period=24, mult=3.8 |
19.3% | -44.3% | 0.78 | 0.44 | 14.9x | 59 | 62% |
| Parabolic SAR step=0.01, maxStep=0.32 |
18.3% | -42.6% | 0.76 | 0.43 | 13.1x | 186 | 58% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=1.2 |
16.8% | -36.7% | 0.74 | 0.46 | 10.8x | 93 | 54% |
| ROC 모멘텀 n=147, threshold=-0.02 |
16.9% | -62.5% | 0.69 | 0.27 | 11.0x | 105 | 69% |
| MACD fast=11, slow=28, signal=17 |
10.9% | -39.0% | 0.54 | 0.28 | 4.9x | 226 | 50% |
| Buy and hold | 28.0% | -62.0% | 0.85 | 0.45 | 44.2x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 58 days