Trend-Following Backtester · Guide · backtest 한국어
equity · US
Everforth, Inc. backtest
10 trend-following strategies were compared on the full daily history of Everforth, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.9%, MDD -75.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.7%, drawdown -96.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -89.0%, Sharpe 0.49, 88% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 7.0%p (CAGR 7.9%, MDD -75.4%, exposure 59%).
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=7, exitN=58 |
12.4% | -89.0% | 0.49 | 0.14 | 53.4x | 113 | 88% |
| Supertrend period=11, mult=4.8 |
7.9% | -75.4% | 0.39 | 0.10 | 13.0x | 99 | 59% |
| SMA 크로스오버 fast=41, slow=216 |
6.7% | -73.5% | 0.36 | 0.09 | 9.0x | 48 | 56% |
| ROC 모멘텀 n=134, threshold=0.08 |
6.3% | -82.2% | 0.35 | 0.08 | 7.9x | 240 | 47% |
| EMA 크로스오버 fast=49, slow=68 |
5.1% | -82.1% | 0.31 | 0.06 | 5.3x | 87 | 59% |
| ADX / DI 방향성 period=37, threshold=22 |
2.2% | -46.4% | 0.22 | 0.05 | 2.1x | 44 | 11% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.4% | -86.7% | 0.14 | -0.02 | 0.6x | 277 | 56% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=27, mult=3.6 |
1.0% | -70.0% | 0.14 | 0.01 | 1.4x | 73 | 16% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
0.5% | -55.5% | 0.11 | 0.01 | 1.2x | 55 | 14% |
| MACD fast=17, slow=18, signal=19 |
-5.1% | -96.3% | 0.04 | -0.05 | 0.2x | 528 | 50% |
| Buy and hold | 8.7% | -96.0% | 0.43 | 0.09 | 16.9x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 58 days