Trend-Following Backtester · Guide · backtest 한국어
equity · TW
momo.com Incorporated backtest
10 trend-following strategies were compared on the full daily history of momo.com Incorporated. 9 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 22.6%, MDD -34.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.2%, drawdown -88.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.6%, MDD -34.1%, Sharpe 1.05, 25% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 23.5%, MDD -38.9%, exposure 30%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 22.6%, MDD -34.1%, exposure 25%).
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=40, exitN=8 |
22.6% | -34.1% | 1.05 | 0.66 | 12.6x | 52 | 25% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=1.9 |
23.5% | -38.9% | 1.01 | 0.61 | 13.8x | 54 | 30% |
| 볼린저 밴드 돌파 n=46, k=1.7 |
23.0% | -40.7% | 0.97 | 0.56 | 13.0x | 46 | 32% |
| Supertrend period=28, mult=3.9 |
22.6% | -42.4% | 0.95 | 0.53 | 12.6x | 50 | 38% |
| SMA 크로스오버 fast=19, slow=54 |
21.2% | -45.9% | 0.85 | 0.46 | 10.9x | 58 | 46% |
| ADX / DI 방향성 period=11, threshold=26 |
18.9% | -40.8% | 0.85 | 0.46 | 8.6x | 120 | 31% |
| EMA 크로스오버 fast=18, slow=51 |
19.2% | -47.2% | 0.79 | 0.41 | 8.9x | 50 | 46% |
| Parabolic SAR step=0.005, maxStep=0.28 |
18.1% | -64.2% | 0.77 | 0.28 | 7.9x | 90 | 45% |
| ROC 모멘텀 n=56, threshold=0.07 |
16.7% | -46.9% | 0.75 | 0.36 | 6.8x | 95 | 32% |
| MACD fast=13, slow=46, signal=19 |
4.3% | -70.3% | 0.29 | 0.06 | 1.7x | 156 | 49% |
| Buy and hold | 7.2% | -88.2% | 0.38 | 0.08 | 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 40 days
- Sell — Sell when price breaks below the lowest low of the last 8 days