Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Rexel SA backtest
10 trend-following strategies were compared on the full daily history of Rexel SA. 2 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 5.6%, MDD -50.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.1%, drawdown -78.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -50.4%, Sharpe 0.34, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 5.6%, MDD -50.4%, exposure 59%).
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=75, exitN=91 |
5.6% | -50.4% | 0.34 | 0.11 | 2.9x | 25 | 59% |
| ROC 모멘텀 n=92, threshold=-0.07 |
4.8% | -57.0% | 0.31 | 0.08 | 2.5x | 135 | 69% |
| EMA 크로스오버 fast=8, slow=232 |
4.1% | -52.6% | 0.29 | 0.08 | 2.2x | 47 | 58% |
| SMA 크로스오버 fast=58, slow=171 |
2.6% | -75.4% | 0.23 | 0.03 | 1.6x | 25 | 59% |
| Supertrend period=23, mult=3.4 |
0.9% | -55.5% | 0.16 | 0.02 | 1.2x | 126 | 57% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.7% | -52.5% | 0.15 | 0.01 | 1.1x | 274 | 51% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.2% | -8.3% | 0.09 | 0.03 | 1.0x | 6 | 1% |
| ADX / DI 방향성 period=25, threshold=15 |
-0.4% | -51.1% | 0.06 | -0.01 | 0.9x | 156 | 30% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=2.8 |
-2.6% | -66.6% | -0.08 | -0.04 | 0.6x | 84 | 29% |
| MACD fast=18, slow=50, signal=7 |
-4.8% | -67.7% | -0.08 | -0.07 | 0.4x | 330 | 50% |
| Buy and hold | 4.1% | -78.8% | 0.29 | 0.05 | 2.2x | 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 75 days
- Sell — Sell when price breaks below the lowest low of the last 91 days