Trend-Following Backtester · Guide · backtest 한국어
equity · US
Happen, Inc. backtest
10 trend-following strategies were compared on the full daily history of Happen, Inc.. 10 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 4.0%, MDD -23.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.0%, drawdown -96.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.0%, MDD -55.4%, Sharpe 0.50, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.0%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 4.0%, MDD -23.9%, exposure 6%).
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=51, exitN=54 |
13.0% | -55.4% | 0.50 | 0.23 | 4.2x | 19 | 44% |
| 볼린저 밴드 돌파 n=70, k=2.9 |
9.4% | -40.0% | 0.46 | 0.23 | 2.9x | 12 | 16% |
| ROC 모멘텀 n=121, threshold=0.13 |
10.0% | -64.8% | 0.43 | 0.15 | 3.0x | 47 | 28% |
| EMA 크로스오버 fast=24, slow=214 |
8.7% | -59.4% | 0.40 | 0.15 | 2.7x | 11 | 30% |
| SMA 크로스오버 fast=9, slow=157 |
7.6% | -63.3% | 0.37 | 0.12 | 2.4x | 29 | 38% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=2.5 |
4.0% | -23.9% | 0.32 | 0.17 | 1.6x | 26 | 6% |
| ADX / DI 방향성 period=31, threshold=21 |
1.9% | -42.0% | 0.20 | 0.05 | 1.3x | 24 | 13% |
| Supertrend period=18, mult=4.1 |
-6.6% | -85.7% | 0.03 | -0.08 | 0.5x | 49 | 43% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-9.1% | -80.5% | -0.02 | -0.11 | 0.3x | 280 | 48% |
| MACD fast=6, slow=15, signal=10 |
-12.6% | -87.1% | -0.07 | -0.15 | 0.2x | 314 | 50% |
| Buy and hold | -15.0% | -96.8% | 0.05 | -0.15 | 0.1x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 54 days