Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Melexis NV backtest
10 trend-following strategies were compared on the full daily history of Melexis NV. 3 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 14.5%, MDD -56.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.1%, drawdown -77.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.5%, MDD -56.2%, Sharpe 0.59, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 14.5%, MDD -56.2%, exposure 88%).
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=14, exitN=117 |
14.5% | -56.2% | 0.59 | 0.26 | 26.9x | 37 | 88% |
| SMA 크로스오버 fast=51, slow=110 |
10.9% | -59.4% | 0.54 | 0.18 | 12.2x | 53 | 59% |
| ROC 모멘텀 n=131, threshold=-0.04 |
9.6% | -64.8% | 0.49 | 0.15 | 9.3x | 161 | 69% |
| EMA 크로스오버 fast=11, slow=246 |
8.6% | -57.0% | 0.46 | 0.15 | 7.5x | 52 | 65% |
| Supertrend period=13, mult=3.4 |
7.6% | -46.2% | 0.43 | 0.17 | 6.0x | 122 | 52% |
| ADX / DI 방향성 period=13, threshold=33 |
4.8% | -34.8% | 0.41 | 0.14 | 3.1x | 102 | 15% |
| 볼린저 밴드 돌파 n=45, k=2.8 |
4.6% | -39.2% | 0.37 | 0.12 | 3.0x | 64 | 22% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=2.2 |
3.4% | -60.4% | 0.27 | 0.06 | 2.3x | 118 | 39% |
| MACD fast=22, slow=54, signal=36 |
3.2% | -66.6% | 0.25 | 0.05 | 2.1x | 190 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.6% | -80.6% | 0.22 | 0.03 | 1.9x | 186 | 56% |
| Buy and hold | 9.1% | -77.8% | 0.42 | 0.12 | 8.2x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 117 days