Trend-Following Backtester · Guide · backtest 한국어
equity · US
Morningstar, Inc. backtest
10 trend-following strategies were compared on the full daily history of Morningstar, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -31.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.8%, drawdown -67.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -26.9%, Sharpe 0.57, 46% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.5%, MDD -31.5%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 41.0%p (CAGR 9.5%, MDD -31.5%, exposure 60%).
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=115, exitN=52 |
8.7% | -26.9% | 0.57 | 0.33 | 6.0x | 29 | 46% |
| SMA 크로스오버 fast=51, slow=142 |
9.5% | -31.5% | 0.56 | 0.30 | 6.9x | 35 | 60% |
| EMA 크로스오버 fast=41, slow=140 |
8.5% | -42.6% | 0.50 | 0.20 | 5.7x | 35 | 65% |
| ROC 모멘텀 n=125, threshold=0.08 |
6.5% | -31.4% | 0.45 | 0.21 | 3.9x | 137 | 43% |
| Supertrend period=13, mult=4.8 |
6.7% | -44.9% | 0.42 | 0.15 | 4.0x | 61 | 57% |
| ADX / DI 방향성 period=32, threshold=28 |
1.9% | -11.8% | 0.35 | 0.16 | 1.5x | 12 | 4% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
2.6% | -19.0% | 0.34 | 0.14 | 1.7x | 16 | 11% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=1.8 |
4.0% | -26.7% | 0.31 | 0.15 | 2.3x | 119 | 43% |
| MACD fast=7, slow=24, signal=15 |
0.3% | -49.8% | 0.12 | 0.01 | 1.1x | 404 | 50% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-1.7% | -66.2% | 0.02 | -0.03 | 0.7x | 318 | 53% |
| Buy and hold | 11.8% | -67.9% | 0.52 | 0.17 | 10.9x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 52 days