Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Fleury SA backtest
10 trend-following strategies were compared on the full daily history of Fleury SA. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.4%, MDD -27.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.0%, drawdown -66.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.9%, MDD -15.3%, Sharpe 0.60, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.0%, MDD -30.2%, exposure 30%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 50.8%p (CAGR 5.4%, MDD -27.2%, exposure 24%).
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=29, atrPeriod=19, mult=3.9 |
3.9% | -15.3% | 0.60 | 0.26 | 1.9x | 9 | 6% |
| ADX / DI 방향성 period=19, threshold=34 |
4.2% | -11.9% | 0.60 | 0.35 | 2.0x | 19 | 6% |
| Donchian 채널 돌파 entryN=75, exitN=19 |
7.0% | -30.2% | 0.51 | 0.23 | 3.1x | 37 | 30% |
| 볼린저 밴드 돌파 n=60, k=2.8 |
5.4% | -27.2% | 0.47 | 0.20 | 2.4x | 33 | 24% |
| ROC 모멘텀 n=71, threshold=0.28 |
2.8% | -21.8% | 0.38 | 0.13 | 1.6x | 52 | 7% |
| Supertrend period=6, mult=2.7 |
5.1% | -53.1% | 0.34 | 0.10 | 2.3x | 101 | 52% |
| MACD fast=34, slow=64, signal=33 |
4.6% | -64.8% | 0.32 | 0.07 | 2.1x | 97 | 50% |
| EMA 크로스오버 fast=13, slow=72 |
2.6% | -56.9% | 0.23 | 0.05 | 1.5x | 75 | 49% |
| SMA 크로스오버 fast=12, slow=160 |
2.6% | -57.1% | 0.23 | 0.04 | 1.5x | 49 | 46% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.3% | -72.5% | -0.01 | -0.03 | 0.7x | 145 | 49% |
| Buy and hold | 5.0% | -66.1% | 0.32 | 0.08 | 2.3x | 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 29-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average