Trend-Following Backtester · Guide · backtest 한국어
equity · US
Patria Investments Limited backtest
10 trend-following strategies were compared on the full daily history of Patria Investments Limited. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.2%, MDD -4.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.4%, drawdown -57.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.7%, MDD -4.7%, Sharpe 0.49, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 52.6%p (CAGR 0.2%, MDD -4.0%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=3.4 |
1.7% | -4.7% | 0.49 | 0.36 | 1.1x | 2 | 3% |
| 볼린저 밴드 돌파 n=7, k=2.3 |
0.2% | -4.0% | 0.09 | 0.04 | 1.0x | 4 | 1% |
| Donchian 채널 돌파 entryN=129, exitN=33 |
-1.2% | -21.8% | -0.06 | -0.06 | 0.9x | 6 | 16% |
| SMA 크로스오버 fast=37, slow=81 |
-4.1% | -28.2% | -0.12 | -0.15 | 0.8x | 22 | 41% |
| MACD fast=8, slow=51, signal=15 |
-5.2% | -57.8% | -0.14 | -0.09 | 0.7x | 79 | 52% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-7.0% | -53.4% | -0.23 | -0.13 | 0.7x | 68 | 48% |
| Supertrend period=25, mult=5 |
-6.0% | -47.2% | -0.24 | -0.13 | 0.7x | 12 | 36% |
| ROC 모멘텀 n=142, threshold=0.03 |
-5.5% | -39.5% | -0.27 | -0.14 | 0.7x | 54 | 29% |
| ADX / DI 방향성 period=13, threshold=29 |
-4.1% | -27.1% | -0.40 | -0.15 | 0.8x | 20 | 11% |
| EMA 크로스오버 fast=99, slow=181 |
-6.6% | -36.3% | -0.42 | -0.18 | 0.7x | 6 | 26% |
| Buy and hold | -11.4% | -57.3% | -0.21 | -0.20 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average