Trend-Following Backtester · Guide · backtest 한국어

equity · US

Marsh backtest

10 trend-following strategies were compared on the full daily history of Marsh. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1973-02-21 ~ 2026-07-31daily bars 13,474 (53.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.1%, drawdown -73.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -83.1%, Sharpe 0.35, 91% exposure.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=4, exitN=61
5.5%-83.1%0.350.0717.7x23191%
ROC 모멘텀
Hold-like · Exposure 98%
n=5, threshold=-0.07
3.4%-86.1%0.260.045.9x26398%
Supertrend
period=25, mult=4.6
2.3%-63.7%0.220.043.3x22159%
EMA 크로스오버
fast=58, slow=219
1.7%-75.8%0.190.022.5x7669%
SMA 크로스오버
fast=34, slow=67
1.4%-82.0%0.170.022.1x22560%
볼린저 밴드 돌파
n=39, k=3.5
0.5%-16.4%0.150.031.3x213%
Keltner 채널 돌파
emaPeriod=71, atrPeriod=34, mult=4
0.0%-58.7%0.060.001.0x14530%
Parabolic SAR
step=0.005, maxStep=0.38
-0.6%-83.9%0.05-0.010.7x46156%
ADX / DI 방향성
period=36, threshold=22
-0.3%-60.5%-0.01-0.000.9x648%
MACD
fast=16, slow=45, signal=17
-3.2%-88.6%-0.12-0.040.2x68749%
Buy and hold8.1%-73.7%0.440.1164.3x1100%
1x 10x 1974 1981 1988 1995 2002 2009 2016 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -62% -83% 1974 1981 1988 1995 2002 2009 2016 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -83.1% (2000-10-05 → 2009-07-10), recovered after 7,733 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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