Trend-Following Backtester · Guide · backtest 한국어
equity · FR
MedinCell SA backtest
10 trend-following strategies were compared on the full daily history of MedinCell SA. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.5%, MDD -46.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.2%, drawdown -70.5%).
Sharpe leader (same as main): Supertrend — CAGR 29.0%, MDD -61.0%, Sharpe 0.74, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 9.5%p (CAGR 15.5%, MDD -46.0%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=31, mult=4.1 |
29.0% | -61.0% | 0.74 | 0.48 | 7.5x | 31 | 42% |
| Donchian 채널 돌파 entryN=116, exitN=17 |
15.5% | -46.0% | 0.59 | 0.34 | 3.1x | 16 | 19% |
| 볼린저 밴드 돌파 n=63, k=3 |
11.5% | -44.2% | 0.47 | 0.26 | 2.4x | 12 | 19% |
| EMA 크로스오버 fast=13, slow=114 |
11.0% | -55.2% | 0.45 | 0.20 | 2.3x | 24 | 51% |
| Parabolic SAR step=0.025, maxStep=0.14 |
10.5% | -73.6% | 0.41 | 0.14 | 2.2x | 169 | 47% |
| SMA 크로스오버 fast=50, slow=106 |
8.3% | -52.5% | 0.39 | 0.16 | 1.9x | 21 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=2.5 |
7.1% | -56.1% | 0.36 | 0.13 | 1.7x | 30 | 31% |
| ROC 모멘텀 n=71, threshold=0 |
5.8% | -59.8% | 0.33 | 0.10 | 1.6x | 88 | 52% |
| ADX / DI 방향성 period=29, threshold=18 |
5.0% | -59.3% | 0.30 | 0.08 | 1.5x | 34 | 30% |
| MACD fast=11, slow=47, signal=8 |
0.8% | -79.0% | 0.23 | 0.01 | 1.1x | 139 | 49% |
| Buy and hold | 16.2% | -70.5% | 0.52 | 0.23 | 3.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 31-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)