Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Cascades Inc. backtest
10 trend-following strategies were compared on the full daily history of Cascades Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -46.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.1%, drawdown -90.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -47.7%, Sharpe 0.41, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 5.9%, MDD -46.0%, exposure 48%).
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=54, exitN=45 |
7.1% | -47.7% | 0.41 | 0.15 | 8.7x | 69 | 50% |
| EMA 크로스오버 fast=49, slow=55 |
5.9% | -46.0% | 0.37 | 0.13 | 6.1x | 75 | 48% |
| SMA 크로스오버 fast=27, slow=132 |
5.6% | -53.4% | 0.36 | 0.11 | 5.7x | 63 | 47% |
| ROC 모멘텀 n=63, threshold=0.01 |
4.1% | -62.4% | 0.29 | 0.06 | 3.5x | 317 | 46% |
| 볼린저 밴드 돌파 n=27, k=1.7 |
3.7% | -52.4% | 0.28 | 0.07 | 3.1x | 247 | 35% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=12, mult=0.7 |
2.8% | -59.8% | 0.23 | 0.05 | 2.4x | 303 | 44% |
| Supertrend period=20, mult=4.5 |
1.9% | -61.5% | 0.20 | 0.03 | 1.8x | 129 | 50% |
| ADX / DI 방향성 period=34, threshold=16 |
1.8% | -58.7% | 0.19 | 0.03 | 1.7x | 139 | 24% |
| MACD fast=18, slow=59, signal=15 |
0.9% | -68.7% | 0.16 | 0.01 | 1.3x | 339 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.8% | -62.6% | 0.16 | 0.01 | 1.3x | 245 | 51% |
| Buy and hold | 2.1% | -90.3% | 0.23 | 0.02 | 1.9x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 45 days