Trend-Following Backtester · Guide · backtest 한국어
equity · DK
SJF Bank A/S backtest
10 trend-following strategies were compared on the full daily history of SJF Bank A/S. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.2%, MDD -22.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 15.3%, drawdown -45.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.7%, MDD -28.8%, Sharpe 1.12, 65% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 16.2%, MDD -22.8%, exposure 45%).
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=31, exitN=50 |
19.7% | -28.8% | 1.12 | 0.69 | 6.9x | 21 | 65% |
| 볼린저 밴드 돌파 n=46, k=1.5 |
16.2% | -22.8% | 1.09 | 0.71 | 5.0x | 53 | 45% |
| Supertrend period=9, mult=4.7 |
16.6% | -26.0% | 1.05 | 0.64 | 5.2x | 27 | 60% |
| Parabolic SAR step=0.015, maxStep=0.14 |
15.7% | -24.2% | 1.04 | 0.65 | 4.8x | 145 | 55% |
| SMA 크로스오버 fast=10, slow=84 |
17.6% | -24.3% | 1.04 | 0.72 | 5.7x | 39 | 60% |
| ADX / DI 방향성 period=24, threshold=17 |
12.7% | -25.4% | 0.98 | 0.50 | 3.6x | 65 | 42% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=20, mult=3.1 |
13.1% | -22.3% | 0.95 | 0.59 | 3.7x | 27 | 40% |
| ROC 모멘텀 n=54, threshold=-0.08 |
16.7% | -47.0% | 0.92 | 0.36 | 5.3x | 43 | 85% |
| EMA 크로스오버 fast=20, slow=169 |
13.9% | -29.2% | 0.85 | 0.48 | 4.1x | 19 | 58% |
| MACD fast=17, slow=59, signal=29 |
10.7% | -28.9% | 0.77 | 0.37 | 3.0x | 85 | 51% |
| Buy and hold | 15.3% | -45.4% | 0.79 | 0.34 | 4.6x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 50 days