Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Mullen Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mullen Group Ltd.. 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 8.2%, MDD -42.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -89.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -42.7%, Sharpe 0.46, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 8.2%, MDD -42.7%, exposure 51%).
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=47, exitN=43 |
8.2% | -42.7% | 0.46 | 0.19 | 10.9x | 79 | 51% |
| EMA 크로스오버 fast=59, slow=88 |
6.8% | -55.8% | 0.39 | 0.12 | 7.2x | 53 | 59% |
| SMA 크로스오버 fast=22, slow=112 |
6.0% | -64.1% | 0.36 | 0.09 | 5.8x | 87 | 57% |
| 볼린저 밴드 돌파 n=45, k=2.5 |
3.8% | -50.2% | 0.31 | 0.08 | 3.1x | 117 | 29% |
| Supertrend period=18, mult=5 |
4.1% | -60.2% | 0.29 | 0.07 | 3.4x | 93 | 55% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=8, mult=2.6 |
3.4% | -54.3% | 0.28 | 0.06 | 2.7x | 135 | 28% |
| ROC 모멘텀 n=75, threshold=-0.04 |
2.6% | -74.9% | 0.23 | 0.03 | 2.2x | 297 | 67% |
| MACD fast=24, slow=51, signal=13 |
1.3% | -85.4% | 0.18 | 0.02 | 1.5x | 323 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.9% | -80.5% | 0.16 | 0.01 | 1.3x | 237 | 53% |
| ADX / DI 방향성 period=24, threshold=30 |
0.8% | -28.6% | 0.16 | 0.03 | 1.3x | 37 | 5% |
| Buy and hold | 7.0% | -89.2% | 0.37 | 0.08 | 7.6x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 43 days