Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bladex, Inc. Class E backtest
10 trend-following strategies were compared on the full daily history of Bladex, Inc. Class E. 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 -65.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.9%, drawdown -96.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -82.3%, Sharpe 0.51, 81% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 14.2%p (CAGR 3.3%, MDD -65.4%, exposure 28%).
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=19, exitN=105 |
11.3% | -82.3% | 0.51 | 0.14 | 37.2x | 53 | 81% |
| SMA 크로스오버 fast=17, slow=191 |
8.0% | -67.7% | 0.45 | 0.12 | 13.3x | 63 | 58% |
| EMA 크로스오버 fast=73, slow=82 |
6.9% | -72.2% | 0.41 | 0.10 | 9.5x | 51 | 60% |
| Supertrend period=14, mult=2.7 |
6.2% | -69.0% | 0.37 | 0.09 | 7.6x | 306 | 52% |
| 볼린저 밴드 돌파 n=22, k=1.6 |
4.5% | -73.0% | 0.32 | 0.06 | 4.4x | 350 | 36% |
| ROC 모멘텀 n=129, threshold=0.02 |
4.3% | -84.0% | 0.30 | 0.05 | 4.2x | 257 | 53% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=11, mult=2.4 |
3.3% | -65.4% | 0.28 | 0.05 | 3.0x | 190 | 28% |
| Parabolic SAR step=0.02, maxStep=0.24 |
1.6% | -85.3% | 0.19 | 0.02 | 1.7x | 666 | 52% |
| ADX / DI 방향성 period=29, threshold=18 |
1.5% | -71.3% | 0.17 | 0.02 | 1.7x | 171 | 25% |
| MACD fast=19, slow=23, signal=16 |
1.1% | -78.1% | 0.17 | 0.01 | 1.4x | 436 | 50% |
| Buy and hold | 2.9% | -96.4% | 0.26 | 0.03 | 2.6x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 105 days