Trend-Following Backtester · Guide · backtest 한국어
equity · CA
goeasy Ltd. backtest
10 trend-following strategies were compared on the full daily history of goeasy Ltd.. 4 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 9.0%, MDD -48.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.9%, drawdown -96.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -48.8%, Sharpe 0.47, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.8%, MDD -71.5%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 9.0%, MDD -48.8%, exposure 33%).
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=162, exitN=47 |
9.0% | -48.8% | 0.47 | 0.19 | 13.4x | 26 | 33% |
| SMA 크로스오버 fast=64, slow=223 |
10.8% | -71.5% | 0.45 | 0.15 | 21.8x | 34 | 55% |
| EMA 크로스오버 fast=8, slow=209 |
6.4% | -75.3% | 0.35 | 0.08 | 6.4x | 82 | 55% |
| Parabolic SAR step=0.005, maxStep=0.06 |
3.7% | -90.0% | 0.28 | 0.04 | 2.9x | 175 | 50% |
| ROC 모멘텀 n=138, threshold=0.03 |
2.8% | -81.2% | 0.26 | 0.03 | 2.3x | 236 | 50% |
| ADX / DI 방향성 period=37, threshold=24 |
1.0% | -49.4% | 0.14 | 0.02 | 1.4x | 52 | 13% |
| 볼린저 밴드 돌파 n=61, k=1.9 |
-2.1% | -92.4% | 0.08 | -0.02 | 0.5x | 117 | 34% |
| MACD fast=25, slow=58, signal=34 |
-7.7% | -99.4% | 0.07 | -0.08 | 0.1x | 243 | 50% |
| Supertrend period=11, mult=5 |
-6.3% | -99.5% | 0.06 | -0.06 | 0.1x | 159 | 55% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=8, mult=3.4 |
-2.7% | -77.7% | -0.08 | -0.04 | 0.4x | 90 | 9% |
| Buy and hold | 2.9% | -96.3% | 0.37 | 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 162 days
- Sell — Sell when price breaks below the lowest low of the last 47 days