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 9.8%, MDD -17.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.2%, drawdown -58.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -17.8%, Sharpe 0.69, 22% exposure.
CAGR reference leader: MACD — CAGR 12.9%, MDD -36.9%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 9.8%, MDD -17.8%, 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 |
9.8% | -17.8% | 0.69 | 0.55 | 2.0x | 15 | 22% |
| ROC 모멘텀 n=137, threshold=0.01 |
12.2% | -38.7% | 0.61 | 0.32 | 2.3x | 39 | 50% |
| Supertrend period=31, mult=4.7 |
12.3% | -36.2% | 0.60 | 0.34 | 2.3x | 19 | 50% |
| SMA 크로스오버 fast=32, slow=185 |
12.0% | -43.1% | 0.60 | 0.28 | 2.3x | 11 | 50% |
| MACD fast=8, slow=22, signal=7 |
12.9% | -36.9% | 0.59 | 0.35 | 2.4x | 153 | 51% |
| 볼린저 밴드 돌파 n=27, k=3.2 |
4.7% | -19.6% | 0.45 | 0.24 | 1.4x | 10 | 8% |
| EMA 크로스오버 fast=37, slow=149 |
7.7% | -51.0% | 0.43 | 0.15 | 1.7x | 11 | 52% |
| Parabolic SAR step=0.015, maxStep=0.34 |
8.2% | -38.7% | 0.43 | 0.21 | 1.8x | 125 | 51% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=4 |
3.5% | -27.8% | 0.30 | 0.12 | 1.3x | 16 | 18% |
| ADX / DI 방향성 period=28, threshold=34 |
0.5% | -8.3% | 0.13 | 0.06 | 1.0x | 4 | 2% |
| Buy and hold | 5.2% | -58.8% | 0.32 | 0.09 | 1.4x | 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