Trend-Following Backtester · Guide · backtest 한국어
equity · CA
ATCO Ltd. Class I backtest
10 trend-following strategies were compared on the full daily history of ATCO Ltd. Class I. 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 8.2%, MDD -32.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -49.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -32.4%, Sharpe 0.60, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.2%, MDD -55.2%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 8.2%, MDD -32.4%, exposure 61%).
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=88, exitN=79 |
8.2% | -32.4% | 0.60 | 0.25 | 12.0x | 39 | 61% |
| SMA 크로스오버 fast=8, slow=251 |
8.4% | -38.6% | 0.59 | 0.22 | 12.9x | 53 | 64% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=13, mult=2.9 |
6.6% | -22.7% | 0.56 | 0.29 | 7.6x | 81 | 47% |
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.09 |
10.2% | -55.2% | 0.56 | 0.18 | 21.3x | 31 | 100% |
| EMA 크로스오버 fast=46, slow=98 |
7.7% | -49.4% | 0.54 | 0.16 | 10.5x | 55 | 66% |
| Supertrend period=8, mult=4.9 |
6.3% | -35.3% | 0.49 | 0.18 | 7.0x | 91 | 59% |
| Parabolic SAR step=0.01, maxStep=0.02 |
5.6% | -33.6% | 0.44 | 0.17 | 5.6x | 168 | 60% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
3.4% | -38.4% | 0.33 | 0.09 | 2.9x | 136 | 41% |
| ADX / DI 방향성 period=37, threshold=10 |
1.6% | -66.0% | 0.18 | 0.02 | 1.6x | 287 | 48% |
| MACD fast=11, slow=53, signal=18 |
-4.4% | -89.0% | -0.23 | -0.05 | 0.2x | 442 | 50% |
| Buy and hold | 9.9% | -49.1% | 0.53 | 0.20 | 19.9x | 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 88 days
- Sell — Sell when price breaks below the lowest low of the last 79 days