Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Phoenix Financial Ltd backtest
10 trend-following strategies were compared on the full daily history of Phoenix Financial Ltd. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.0%, MDD -30.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.2%, drawdown -89.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.7%, MDD -44.2%, Sharpe 0.85, 34% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.5%, MDD -55.3%, exposure 68%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 15.0%, MDD -30.1%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=15, mult=4 |
14.7% | -44.2% | 0.85 | 0.33 | 27.0x | 34 | 34% |
| 볼린저 밴드 돌파 n=93, k=2.2 |
15.0% | -30.1% | 0.85 | 0.50 | 28.7x | 32 | 35% |
| Donchian 채널 돌파 entryN=36, exitN=54 |
18.5% | -55.3% | 0.82 | 0.34 | 58.9x | 41 | 68% |
| SMA 크로스오버 fast=20, slow=67 |
16.3% | -46.5% | 0.79 | 0.35 | 37.7x | 72 | 57% |
| EMA 크로스오버 fast=17, slow=27 |
14.9% | -58.2% | 0.73 | 0.26 | 28.0x | 117 | 57% |
| Supertrend period=23, mult=4.9 |
14.6% | -63.5% | 0.71 | 0.23 | 26.4x | 60 | 60% |
| ROC 모멘텀 n=57, threshold=0.09 |
12.1% | -52.3% | 0.69 | 0.23 | 15.5x | 214 | 38% |
| ADX / DI 방향성 period=39, threshold=13 |
9.2% | -89.6% | 0.51 | 0.10 | 8.2x | 72 | 39% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.5% | -62.0% | 0.33 | 0.07 | 2.9x | 169 | 54% |
| MACD fast=10, slow=56, signal=10 |
-4.7% | -81.4% | -0.05 | -0.06 | 0.3x | 369 | 50% |
| Buy and hold | 14.2% | -89.5% | 0.60 | 0.16 | 24.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 73-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 73-day average