Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Sygnity SA backtest
10 trend-following strategies were compared on the full daily history of Sygnity SA. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -43.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.6%, drawdown -98.8%).
Sharpe leader (same as main): Supertrend — CAGR 10.6%, MDD -59.2%, Sharpe 0.48, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 5.6%, MDD -43.9%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=2.6 |
10.6% | -59.2% | 0.48 | 0.18 | 14.9x | 200 | 47% |
| Donchian 채널 돌파 entryN=99, exitN=6 |
5.6% | -43.9% | 0.41 | 0.13 | 4.3x | 84 | 11% |
| 볼린저 밴드 돌파 n=28, k=2.3 |
7.1% | -63.5% | 0.41 | 0.11 | 6.2x | 136 | 24% |
| MACD fast=30, slow=57, signal=22 |
7.2% | -55.8% | 0.38 | 0.13 | 6.4x | 177 | 49% |
| ROC 모멘텀 n=129, threshold=0.22 |
5.5% | -66.2% | 0.35 | 0.08 | 4.2x | 156 | 24% |
| EMA 크로스오버 fast=11, slow=169 |
6.0% | -83.3% | 0.34 | 0.07 | 4.8x | 81 | 44% |
| ADX / DI 방향성 period=12, threshold=14 |
5.1% | -66.6% | 0.31 | 0.08 | 3.8x | 532 | 41% |
| SMA 크로스오버 fast=68, slow=109 |
5.0% | -84.9% | 0.31 | 0.06 | 3.7x | 73 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=1.9 |
3.9% | -76.9% | 0.27 | 0.05 | 2.8x | 146 | 31% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.1% | -82.2% | 0.25 | 0.04 | 2.2x | 190 | 49% |
| Buy and hold | 0.6% | -98.8% | 0.24 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)