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 6.6%, MDD -46.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.7%, drawdown -90.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.8%, MDD -47.7%, Sharpe 0.44, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 6.6%, 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 |
7.8% | -47.7% | 0.44 | 0.16 | 10.7x | 69 | 50% |
| EMA 크로스오버 fast=49, slow=55 |
6.6% | -46.0% | 0.40 | 0.14 | 7.5x | 75 | 48% |
| SMA 크로스오버 fast=27, slow=132 |
6.3% | -53.4% | 0.39 | 0.12 | 7.0x | 63 | 47% |
| ROC 모멘텀 n=63, threshold=0.01 |
4.7% | -62.4% | 0.32 | 0.08 | 4.3x | 317 | 46% |
| 볼린저 밴드 돌파 n=27, k=1.7 |
4.4% | -52.4% | 0.32 | 0.08 | 3.9x | 247 | 35% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=12, mult=0.7 |
3.4% | -59.8% | 0.26 | 0.06 | 2.9x | 303 | 44% |
| ADX / DI 방향성 period=34, threshold=16 |
2.4% | -58.7% | 0.23 | 0.04 | 2.1x | 139 | 24% |
| Supertrend period=20, mult=4.5 |
2.5% | -61.5% | 0.22 | 0.04 | 2.2x | 129 | 50% |
| MACD fast=18, slow=59, signal=15 |
1.6% | -68.7% | 0.18 | 0.02 | 1.6x | 339 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.5% | -62.6% | 0.18 | 0.02 | 1.6x | 245 | 51% |
| Buy and hold | 2.7% | -90.3% | 0.25 | 0.03 | 2.4x | 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