Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Colbun SA backtest
10 trend-following strategies were compared on the full daily history of Colbun SA. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.7%, MDD -32.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -74.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -8.4%, Sharpe 0.56, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -32.0%, exposure 43%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 65.7%p (CAGR 6.7%, MDD -32.0%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=35 |
1.8% | -8.4% | 0.56 | 0.21 | 1.6x | 6 | 3% |
| Donchian 채널 돌파 entryN=92, exitN=50 |
6.7% | -32.0% | 0.53 | 0.21 | 5.6x | 42 | 43% |
| 볼린저 밴드 돌파 n=37, k=2.8 |
3.5% | -19.6% | 0.39 | 0.18 | 2.5x | 72 | 21% |
| SMA 크로스오버 fast=12, slow=191 |
4.1% | -65.8% | 0.31 | 0.06 | 2.9x | 74 | 60% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=26, mult=3.6 |
2.6% | -29.2% | 0.30 | 0.09 | 2.0x | 66 | 24% |
| EMA 크로스오버 fast=50, slow=73 |
3.4% | -74.1% | 0.27 | 0.05 | 2.4x | 58 | 60% |
| ROC 모멘텀 n=57, threshold=-0.1 |
3.1% | -83.8% | 0.25 | 0.04 | 2.2x | 145 | 89% |
| Supertrend period=25, mult=4.7 |
2.8% | -79.5% | 0.25 | 0.04 | 2.1x | 82 | 59% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.6% | -77.3% | 0.18 | 0.02 | 1.5x | 199 | 55% |
| MACD fast=15, slow=56, signal=17 |
-1.1% | -71.2% | 0.02 | -0.02 | 0.7x | 321 | 50% |
| Buy and hold | 6.1% | -74.1% | 0.36 | 0.08 | 4.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)