Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Alaris Equity Partners Income Trust Trust Units Reg S 3c7 backtest
10 trend-following strategies were compared on the full daily history of Alaris Equity Partners Income Trust Trust Units Reg S 3c7. 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 8.9%, MDD -48.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -48.2%, Sharpe 0.52, 68% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 8.9%, MDD -48.2%, exposure 68%).
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=53, exitN=77 |
8.9% | -48.2% | 0.52 | 0.19 | 4.2x | 23 | 68% |
| Supertrend period=27, mult=4.4 |
5.3% | -47.7% | 0.37 | 0.11 | 2.4x | 63 | 64% |
| 볼린저 밴드 돌파 n=72, k=1.6 |
4.2% | -39.8% | 0.35 | 0.10 | 2.0x | 55 | 43% |
| EMA 크로스오버 fast=29, slow=176 |
4.6% | -59.6% | 0.34 | 0.08 | 2.1x | 25 | 60% |
| ROC 모멘텀 n=141, threshold=0 |
4.2% | -63.1% | 0.32 | 0.07 | 2.0x | 125 | 61% |
| SMA 크로스오버 fast=33, slow=139 |
4.3% | -75.2% | 0.31 | 0.06 | 2.0x | 33 | 61% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.9% | -54.8% | 0.29 | 0.07 | 1.9x | 133 | 58% |
| MACD fast=16, slow=38, signal=12 |
2.1% | -52.3% | 0.21 | 0.04 | 1.4x | 232 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=29, mult=4 |
1.3% | -37.8% | 0.18 | 0.04 | 1.2x | 39 | 25% |
| ADX / DI 방향성 period=33, threshold=15 |
-0.5% | -57.7% | 0.03 | -0.01 | 0.9x | 103 | 33% |
| Buy and hold | 7.8% | -83.2% | 0.40 | 0.09 | 3.5x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 77 days