Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Advanced Petrochemical Co. backtest
10 trend-following strategies were compared on the full daily history of Advanced Petrochemical Co.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.3%, MDD -36.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.6%, drawdown -70.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -51.5%, Sharpe 0.41, 75% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 3.3%, MDD -36.9%, exposure 33%).
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=9, exitN=45 |
7.0% | -51.5% | 0.41 | 0.14 | 3.0x | 68 | 75% |
| Supertrend period=28, mult=2.3 |
5.3% | -49.6% | 0.37 | 0.11 | 2.3x | 172 | 48% |
| ADX / DI 방향성 period=24, threshold=13 |
4.7% | -38.7% | 0.35 | 0.12 | 2.1x | 158 | 47% |
| SMA 크로스오버 fast=24, slow=92 |
4.6% | -43.6% | 0.33 | 0.11 | 2.1x | 52 | 55% |
| MACD fast=10, slow=51, signal=27 |
3.9% | -48.3% | 0.30 | 0.08 | 1.9x | 166 | 49% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=13, mult=1.4 |
3.3% | -36.9% | 0.28 | 0.09 | 1.7x | 154 | 33% |
| EMA 크로스오버 fast=11, slow=69 |
2.9% | -44.4% | 0.25 | 0.07 | 1.6x | 76 | 54% |
| 볼린저 밴드 돌파 n=46, k=3 |
2.1% | -31.2% | 0.23 | 0.07 | 1.4x | 42 | 23% |
| ROC 모멘텀 n=40, threshold=-0.04 |
2.5% | -61.6% | 0.22 | 0.04 | 1.5x | 188 | 68% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-2.0% | -44.2% | -0.00 | -0.05 | 0.7x | 192 | 49% |
| Buy and hold | 2.6% | -70.4% | 0.23 | 0.04 | 1.5x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 45 days