Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Digital Network S.A backtest
10 trend-following strategies were compared on the full daily history of Digital Network S.A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 25.1%, MDD -37.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 21.0%, drawdown -87.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.4%, MDD -47.6%, Sharpe 1.00, 48% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 31.8%, MDD -43.6%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 25.1%, MDD -37.1%, exposure 40%).
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=52, exitN=25 |
30.4% | -47.6% | 1.00 | 0.64 | 63.0x | 33 | 48% |
| SMA 크로스오버 fast=63, slow=193 |
31.8% | -43.6% | 0.95 | 0.73 | 74.9x | 17 | 55% |
| Supertrend period=29, mult=4.4 |
28.0% | -46.3% | 0.93 | 0.61 | 47.5x | 41 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=1.9 |
25.6% | -57.1% | 0.91 | 0.45 | 35.1x | 53 | 43% |
| EMA 크로스오버 fast=50, slow=176 |
29.4% | -44.0% | 0.91 | 0.67 | 56.1x | 13 | 57% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
25.1% | -37.1% | 0.90 | 0.68 | 32.9x | 69 | 40% |
| ROC 모멘텀 n=99, threshold=0.1 |
23.7% | -43.4% | 0.81 | 0.55 | 27.6x | 97 | 46% |
| ADX / DI 방향성 period=46, threshold=4 |
18.3% | -50.8% | 0.72 | 0.36 | 13.9x | 123 | 36% |
| Parabolic SAR step=0.015, maxStep=0.24 |
15.6% | -61.6% | 0.60 | 0.25 | 9.6x | 221 | 53% |
| MACD fast=13, slow=24, signal=14 |
5.4% | -86.2% | 0.32 | 0.06 | 2.3x | 262 | 50% |
| Buy and hold | 21.0% | -87.2% | 0.64 | 0.24 | 19.5x | 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 52 days
- Sell — Sell when price breaks below the lowest low of the last 25 days