Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Inter Cars S.A. backtest
10 trend-following strategies were compared on the full daily history of Inter Cars S.A.. 1 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 21.0%, MDD -45.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.3%, drawdown -89.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.0%, MDD -45.8%, Sharpe 0.80, 74% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 21.0%, MDD -45.8%, exposure 74%).
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=29, exitN=77 |
21.0% | -45.8% | 0.80 | 0.46 | 68.8x | 37 | 74% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=3.9 |
12.7% | -45.8% | 0.79 | 0.28 | 14.2x | 43 | 22% |
| Supertrend period=13, mult=3.8 |
17.2% | -54.3% | 0.76 | 0.32 | 34.2x | 83 | 52% |
| SMA 크로스오버 fast=20, slow=66 |
16.1% | -51.8% | 0.72 | 0.31 | 27.6x | 95 | 54% |
| EMA 크로스오버 fast=22, slow=56 |
16.2% | -58.5% | 0.71 | 0.28 | 28.4x | 83 | 57% |
| 볼린저 밴드 돌파 n=21, k=3.1 |
8.6% | -32.8% | 0.68 | 0.26 | 6.3x | 62 | 14% |
| ADX / DI 방향성 period=31, threshold=20 |
9.0% | -32.2% | 0.63 | 0.28 | 6.8x | 57 | 16% |
| Parabolic SAR step=0.01, maxStep=0.12 |
11.9% | -50.2% | 0.57 | 0.24 | 12.3x | 284 | 53% |
| ROC 모멘텀 n=70, threshold=-0.04 |
9.7% | -78.0% | 0.47 | 0.12 | 7.8x | 277 | 68% |
| MACD fast=16, slow=27, signal=14 |
2.3% | -67.7% | 0.21 | 0.03 | 1.7x | 348 | 49% |
| Buy and hold | 18.3% | -89.0% | 0.64 | 0.21 | 41.8x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 77 days