Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Getlink SE backtest
10 trend-following strategies were compared on the full daily history of Getlink SE. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.7%, MDD -33.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.8%, drawdown -77.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -38.1%, Sharpe 0.48, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 4.7%, MDD -33.2%, exposure 24%).
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=61, exitN=40 |
9.1% | -38.1% | 0.48 | 0.24 | 5.3x | 38 | 46% |
| ADX / DI 방향성 period=34, threshold=36 |
0.8% | -3.7% | 0.43 | 0.21 | 1.2x | 2 | 1% |
| Supertrend period=27, mult=4.8 |
7.8% | -45.2% | 0.40 | 0.17 | 4.2x | 57 | 59% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=3.1 |
4.7% | -33.2% | 0.31 | 0.14 | 2.4x | 60 | 24% |
| SMA 크로스오버 fast=38, slow=100 |
4.1% | -58.9% | 0.27 | 0.07 | 2.2x | 52 | 55% |
| 볼린저 밴드 돌파 n=54, k=2.5 |
3.8% | -43.4% | 0.27 | 0.09 | 2.0x | 64 | 29% |
| EMA 크로스오버 fast=33, slow=96 |
3.4% | -59.1% | 0.24 | 0.06 | 1.9x | 51 | 56% |
| ROC 모멘텀 n=45, threshold=0.1 |
2.5% | -34.1% | 0.21 | 0.07 | 1.6x | 180 | 20% |
| MACD fast=14, slow=30, signal=16 |
-1.0% | -60.3% | 0.08 | -0.02 | 0.8x | 264 | 49% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.2% | -69.7% | 0.02 | -0.03 | 0.6x | 159 | 51% |
| Buy and hold | 3.8% | -77.0% | 0.27 | 0.05 | 2.0x | 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 61 days
- Sell — Sell when price breaks below the lowest low of the last 40 days