Trend-Following Backtester · Guide · backtest 한국어
equity · DE
TRATON SE backtest
10 trend-following strategies were compared on the full daily history of TRATON SE. 7 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 10.8%, MDD -15.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.1%, drawdown -58.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -15.4%, Sharpe 0.75, 22% exposure.
CAGR reference leader: MACD — CAGR 13.6%, MDD -36.9%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 10.8%, MDD -15.4%, exposure 22%).
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=99, exitN=16 |
10.8% | -15.4% | 0.75 | 0.70 | 2.1x | 15 | 22% |
| ROC 모멘텀 n=137, threshold=0.01 |
13.3% | -38.7% | 0.66 | 0.34 | 2.4x | 39 | 49% |
| Supertrend period=31, mult=4.7 |
13.4% | -36.2% | 0.64 | 0.37 | 2.4x | 19 | 49% |
| SMA 크로스오버 fast=32, slow=185 |
13.1% | -43.1% | 0.64 | 0.30 | 2.4x | 11 | 50% |
| MACD fast=8, slow=22, signal=7 |
13.6% | -36.9% | 0.61 | 0.37 | 2.5x | 151 | 51% |
| 볼린저 밴드 돌파 n=27, k=3.2 |
6.0% | -19.6% | 0.56 | 0.31 | 1.5x | 9 | 7% |
| EMA 크로스오버 fast=37, slow=149 |
8.7% | -51.0% | 0.47 | 0.17 | 1.8x | 11 | 52% |
| Parabolic SAR step=0.015, maxStep=0.34 |
9.2% | -38.7% | 0.46 | 0.24 | 1.9x | 123 | 52% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=4 |
5.1% | -22.8% | 0.41 | 0.22 | 1.4x | 15 | 17% |
| ADX / DI 방향성 period=28, threshold=34 |
0.5% | -8.3% | 0.13 | 0.06 | 1.0x | 4 | 2% |
| Buy and hold | 6.1% | -58.8% | 0.34 | 0.10 | 1.5x | 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 99 days
- Sell — Sell when price breaks below the lowest low of the last 16 days