Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Methanex Corporation backtest
10 trend-following strategies were compared on the full daily history of Methanex Corporation. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.6%, MDD -43.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.2%, drawdown -89.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.9%, MDD -63.1%, Sharpe 0.51, 72% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 5.6%, MDD -43.5%, exposure 23%).
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=16, exitN=39 |
11.9% | -63.1% | 0.51 | 0.19 | 34.9x | 119 | 72% |
| SMA 크로스오버 fast=38, slow=164 |
9.3% | -51.2% | 0.46 | 0.18 | 16.6x | 55 | 56% |
| EMA 크로스오버 fast=20, slow=25 |
8.3% | -50.5% | 0.43 | 0.16 | 12.3x | 203 | 56% |
| 볼린저 밴드 돌파 n=52, k=1.7 |
6.8% | -48.9% | 0.40 | 0.14 | 7.9x | 154 | 39% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=4 |
5.6% | -43.5% | 0.39 | 0.13 | 5.5x | 64 | 23% |
| Supertrend period=9, mult=4.2 |
6.8% | -65.2% | 0.38 | 0.10 | 8.0x | 129 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.1% | -58.7% | 0.35 | 0.10 | 6.5x | 255 | 53% |
| ROC 모멘텀 n=144, threshold=-0.01 |
5.6% | -64.2% | 0.34 | 0.09 | 5.6x | 239 | 57% |
| MACD fast=24, slow=57, signal=17 |
4.7% | -65.2% | 0.30 | 0.07 | 4.3x | 303 | 52% |
| ADX / DI 방향성 period=17, threshold=19 |
3.2% | -46.7% | 0.25 | 0.07 | 2.7x | 300 | 32% |
| Buy and hold | 4.2% | -89.1% | 0.31 | 0.05 | 3.6x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 39 days