Trend-Following Backtester · Guide · backtest 한국어
equity · CA
iA Financial Corporation Inc. backtest
10 trend-following strategies were compared on the full daily history of iA Financial Corporation Inc.. 0 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 9.7%, MDD -38.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -67.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -38.7%, Sharpe 0.60, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 29.1%p (CAGR 9.7%, MDD -38.7%, exposure 63%).
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=43, exitN=39 |
9.7% | -38.7% | 0.60 | 0.25 | 11.7x | 69 | 63% |
| Supertrend period=18, mult=4.4 |
8.2% | -43.4% | 0.52 | 0.19 | 8.1x | 92 | 63% |
| EMA 크로스오버 fast=49, slow=91 |
8.2% | -43.3% | 0.52 | 0.19 | 8.1x | 45 | 69% |
| SMA 크로스오버 fast=53, slow=219 |
7.2% | -58.9% | 0.47 | 0.12 | 6.3x | 31 | 66% |
| ROC 모멘텀 n=82, threshold=-0.03 |
7.2% | -48.8% | 0.46 | 0.15 | 6.4x | 213 | 73% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=2.8 |
4.3% | -32.1% | 0.42 | 0.14 | 3.1x | 92 | 26% |
| ADX / DI 방향성 period=29, threshold=27 |
2.8% | -17.3% | 0.38 | 0.16 | 2.1x | 32 | 11% |
| 볼린저 밴드 돌파 n=44, k=2.4 |
3.4% | -33.9% | 0.33 | 0.10 | 2.5x | 96 | 30% |
| MACD fast=18, slow=37, signal=20 |
0.8% | -60.6% | 0.14 | 0.01 | 1.2x | 302 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.1% | -67.7% | 0.09 | -0.00 | 1.0x | 234 | 56% |
| Buy and hold | 12.5% | -67.8% | 0.57 | 0.18 | 22.6x | 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 43 days
- Sell — Sell when price breaks below the lowest low of the last 39 days