Trend-Following Backtester · Guide · backtest 한국어
equity · CH
DocMorris Ltd backtest
10 trend-following strategies were compared on the full daily history of DocMorris Ltd. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.4%, MDD -29.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.1%, drawdown -99.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.6%, MDD -35.6%, Sharpe 0.76, 27% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.8%, MDD -48.5%, exposure 32%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 45.7%p higher than buy and hold, while drawdown improves by 63.6%p (CAGR 16.4%, MDD -29.8%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=2.4 |
19.6% | -35.6% | 0.76 | 0.55 | 5.1x | 23 | 27% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=24, mult=2.9 |
17.9% | -35.6% | 0.75 | 0.50 | 4.5x | 27 | 20% |
| ADX / DI 방향성 period=16, threshold=29 |
16.4% | -29.8% | 0.74 | 0.55 | 4.0x | 25 | 15% |
| ROC 모멘텀 n=159, threshold=0.14 |
20.8% | -48.5% | 0.73 | 0.43 | 5.6x | 39 | 32% |
| SMA 크로스오버 fast=25, slow=273 |
20.1% | -49.8% | 0.70 | 0.40 | 5.3x | 7 | 36% |
| EMA 크로스오버 fast=14, slow=51 |
18.7% | -66.0% | 0.65 | 0.28 | 4.7x | 29 | 40% |
| Supertrend period=31, mult=3.7 |
14.1% | -76.9% | 0.56 | 0.18 | 3.3x | 37 | 38% |
| Donchian 채널 돌파 entryN=89, exitN=21 |
5.8% | -49.2% | 0.34 | 0.12 | 1.7x | 25 | 22% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.6% | -87.2% | 0.17 | -0.03 | 0.8x | 73 | 43% |
| MACD fast=18, slow=45, signal=18 |
-8.8% | -90.2% | 0.09 | -0.10 | 0.4x | 91 | 55% |
| Buy and hold | -26.1% | -99.2% | -0.15 | -0.26 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 47-day middle average