Trend-Following Backtester · Guide · backtest 한국어
equity · AU
SGH Limited backtest
10 trend-following strategies were compared on the full daily history of SGH Limited. 1 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 9.4%, MDD -53.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -71.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -53.0%, Sharpe 0.48, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 9.4%, MDD -53.0%, exposure 73%).
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=18, exitN=43 |
9.4% | -53.0% | 0.48 | 0.18 | 19.3x | 127 | 73% |
| SMA 크로스오버 fast=11, slow=199 |
5.8% | -58.2% | 0.37 | 0.10 | 6.4x | 76 | 58% |
| Supertrend period=13, mult=4.1 |
5.1% | -41.8% | 0.34 | 0.12 | 5.2x | 145 | 59% |
| ROC 모멘텀 n=97, threshold=0 |
4.8% | -61.7% | 0.32 | 0.08 | 4.7x | 243 | 57% |
| EMA 크로스오버 fast=50, slow=143 |
3.8% | -67.0% | 0.28 | 0.06 | 3.4x | 54 | 62% |
| Parabolic SAR step=0.005, maxStep=0.06 |
3.2% | -61.7% | 0.25 | 0.05 | 2.8x | 232 | 56% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=2.8 |
2.9% | -42.0% | 0.25 | 0.07 | 2.5x | 126 | 40% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
1.0% | -53.4% | 0.15 | 0.02 | 1.4x | 182 | 44% |
| MACD fast=22, slow=37, signal=17 |
0.8% | -69.1% | 0.14 | 0.01 | 1.3x | 334 | 49% |
| ADX / DI 방향성 period=19, threshold=20 |
0.6% | -57.0% | 0.12 | 0.01 | 1.2x | 260 | 35% |
| Buy and hold | 8.5% | -71.2% | 0.41 | 0.12 | 14.8x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 43 days