Trend-Following Backtester · Guide · backtest 한국어
equity · CL
AntarChile S.A. backtest
10 trend-following strategies were compared on the full daily history of AntarChile S.A.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -17.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.0%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -56.7%, Sharpe 0.41, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.4%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 1.8%, MDD -17.4%, exposure 4%).
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=94, exitN=103 |
5.4% | -56.7% | 0.41 | 0.10 | 4.0x | 26 | 60% |
| ADX / DI 방향성 period=49, threshold=30 |
1.8% | -17.4% | 0.41 | 0.10 | 1.6x | 8 | 4% |
| SMA 크로스오버 fast=58, slow=200 |
4.5% | -47.0% | 0.37 | 0.10 | 3.2x | 32 | 54% |
| 볼린저 밴드 돌파 n=50, k=2.2 |
2.4% | -53.9% | 0.26 | 0.04 | 1.9x | 96 | 33% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=3.7 |
2.1% | -48.2% | 0.24 | 0.04 | 1.8x | 94 | 32% |
| ROC 모멘텀 n=87, threshold=0.14 |
1.5% | -32.9% | 0.20 | 0.04 | 1.5x | 148 | 16% |
| EMA 크로스오버 fast=52, slow=134 |
1.8% | -53.9% | 0.20 | 0.03 | 1.6x | 46 | 50% |
| Parabolic SAR step=0.01, maxStep=0.16 |
0.1% | -67.2% | 0.08 | 0.00 | 1.0x | 306 | 51% |
| Supertrend period=25, mult=4.1 |
-0.6% | -65.2% | 0.04 | -0.01 | 0.8x | 190 | 53% |
| MACD fast=14, slow=49, signal=16 |
-2.4% | -81.5% | -0.08 | -0.03 | 0.5x | 333 | 52% |
| Buy and hold | -17.0% | -99.9% | 0.13 | -0.17 | 0.0x | 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 94 days
- Sell — Sell when price breaks below the lowest low of the last 103 days