Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Navigator Company SA backtest
10 trend-following strategies were compared on the full daily history of Navigator Company SA. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.1%, MDD -20.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.3%, drawdown -69.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -34.5%, Sharpe 0.46, 46% exposure.
CAGR reference leader: Supertrend — CAGR 6.1%, MDD -37.0%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 3.1%, MDD -20.1%, exposure 13%).
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=92, exitN=48 |
6.0% | -34.5% | 0.46 | 0.17 | 4.7x | 38 | 46% |
| Supertrend period=18, mult=3.5 |
6.1% | -37.0% | 0.44 | 0.16 | 4.8x | 132 | 55% |
| ADX / DI 방향성 period=39, threshold=21 |
3.1% | -20.1% | 0.43 | 0.15 | 2.2x | 36 | 13% |
| EMA 크로스오버 fast=10, slow=129 |
5.8% | -36.0% | 0.42 | 0.16 | 4.4x | 64 | 56% |
| SMA 크로스오버 fast=29, slow=217 |
5.8% | -40.7% | 0.41 | 0.14 | 4.5x | 31 | 56% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=4 |
2.8% | -22.6% | 0.39 | 0.13 | 2.1x | 44 | 13% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
3.2% | -35.3% | 0.36 | 0.09 | 2.3x | 50 | 21% |
| MACD fast=15, slow=79, signal=22 |
2.7% | -39.8% | 0.24 | 0.07 | 2.0x | 238 | 52% |
| ROC 모멘텀 n=138, threshold=0.01 |
2.1% | -52.8% | 0.21 | 0.04 | 1.7x | 214 | 56% |
| Parabolic SAR step=0.015, maxStep=0.08 |
0.1% | -71.0% | 0.09 | 0.00 | 1.0x | 379 | 55% |
| Buy and hold | 3.3% | -69.0% | 0.25 | 0.05 | 2.4x | 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 92 days
- Sell — Sell when price breaks below the lowest low of the last 48 days