Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Carmila SA backtest
10 trend-following strategies were compared on the full daily history of Carmila SA. 4 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 -43.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR -4.8%, drawdown -84.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -5.9%, MDD -65.0%, Sharpe 0.07, 76% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -1.8%, MDD -43.9%, exposure 6%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 19.1%p (CAGR -1.8%, MDD -43.9%, exposure 6%).
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=20, exitN=74 |
-5.9% | -65.0% | 0.07 | -0.09 | 0.4x | 49 | 76% |
| ROC 모멘텀 n=39, threshold=-0.11 |
-5.6% | -75.4% | 0.06 | -0.07 | 0.4x | 97 | 85% |
| SMA 크로스오버 fast=100, slow=194 |
-3.7% | -81.8% | 0.04 | -0.05 | 0.6x | 28 | 47% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-5.8% | -70.6% | 0.02 | -0.08 | 0.4x | 160 | 45% |
| EMA 크로스오버 fast=57, slow=201 |
-4.6% | -77.1% | -0.00 | -0.06 | 0.5x | 24 | 48% |
| 볼린저 밴드 돌파 n=13, k=2.5 |
-3.4% | -63.5% | -0.03 | -0.05 | 0.6x | 100 | 16% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=2.1 |
-4.9% | -81.7% | -0.04 | -0.06 | 0.5x | 104 | 13% |
| MACD fast=14, slow=33, signal=22 |
-9.2% | -86.5% | -0.07 | -0.11 | 0.2x | 182 | 53% |
| ADX / DI 방향성 period=19, threshold=36 |
-1.8% | -43.9% | -0.08 | -0.04 | 0.8x | 28 | 6% |
| Supertrend period=13, mult=3.4 |
-12.7% | -93.9% | -0.19 | -0.13 | 0.1x | 158 | 44% |
| Buy and hold | -4.8% | -84.2% | 0.13 | -0.06 | 0.5x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 74 days