Trend-Following Backtester · Guide · backtest 한국어
equity · US
MSCI Inc. backtest
10 trend-following strategies were compared on the full daily history of MSCI Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.6%, MDD -48.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.9%, drawdown -69.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.6%, MDD -48.5%, Sharpe 0.60, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 20.6%p (CAGR 14.6%, MDD -48.5%, exposure 89%).
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=20, exitN=103 |
14.6% | -48.5% | 0.60 | 0.30 | 12.8x | 25 | 89% |
| SMA 크로스오버 fast=13, slow=200 |
11.2% | -50.8% | 0.55 | 0.22 | 7.2x | 37 | 70% |
| EMA 크로스오버 fast=18, slow=182 |
10.7% | -64.5% | 0.53 | 0.17 | 6.8x | 37 | 73% |
| ROC 모멘텀 n=177, threshold=-0.03 |
7.8% | -62.8% | 0.42 | 0.12 | 4.1x | 123 | 77% |
| Supertrend period=22, mult=5 |
6.3% | -56.1% | 0.38 | 0.11 | 3.1x | 58 | 64% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=1.3 |
5.0% | -54.6% | 0.34 | 0.09 | 2.5x | 126 | 56% |
| ADX / DI 방향성 period=19, threshold=46 |
0.7% | -6.9% | 0.28 | 0.11 | 1.1x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.8% | -52.6% | 0.28 | 0.07 | 2.0x | 169 | 59% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
1.5% | -19.5% | 0.27 | 0.08 | 1.3x | 14 | 8% |
| MACD fast=18, slow=47, signal=14 |
2.8% | -52.7% | 0.24 | 0.05 | 1.7x | 242 | 51% |
| Buy and hold | 17.9% | -69.1% | 0.65 | 0.26 | 21.8x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 103 days