Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Minerva S.A. backtest
10 trend-following strategies were compared on the full daily history of Minerva S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.3%, MDD -41.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.0%, drawdown -92.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.3%, MDD -41.3%, Sharpe 0.57, 19% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 51.1%p (CAGR 9.3%, MDD -41.3%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=16, mult=2.9 |
9.3% | -41.3% | 0.57 | 0.23 | 5.5x | 50 | 19% |
| 볼린저 밴드 돌파 n=35, k=2.5 |
8.9% | -43.7% | 0.52 | 0.20 | 5.1x | 67 | 23% |
| Donchian 채널 돌파 entryN=112, exitN=80 |
8.4% | -58.6% | 0.45 | 0.14 | 4.7x | 20 | 40% |
| SMA 크로스오버 fast=56, slow=79 |
6.4% | -64.7% | 0.37 | 0.10 | 3.3x | 56 | 46% |
| EMA 크로스오버 fast=20, slow=52 |
5.6% | -75.7% | 0.34 | 0.07 | 2.8x | 69 | 43% |
| ROC 모멘텀 n=115, threshold=0.12 |
4.8% | -68.8% | 0.32 | 0.07 | 2.4x | 132 | 31% |
| ADX / DI 방향성 period=8, threshold=24 |
4.2% | -79.6% | 0.29 | 0.05 | 2.2x | 365 | 35% |
| Supertrend period=13, mult=2.7 |
3.7% | -68.8% | 0.27 | 0.05 | 2.0x | 127 | 45% |
| Parabolic SAR step=0.015, maxStep=0.3 |
3.1% | -75.6% | 0.25 | 0.04 | 1.8x | 329 | 49% |
| MACD fast=24, slow=64, signal=21 |
2.7% | -71.9% | 0.24 | 0.04 | 1.7x | 141 | 51% |
| Buy and hold | -8.0% | -92.4% | 0.02 | -0.09 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 30-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 30-day average