Trend-Following Backtester · Guide · backtest 한국어
equity · IN
MRF Limited backtest
10 trend-following strategies were compared on the full daily history of MRF Limited. 1 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 24.6%, MDD -37.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 23.0%, drawdown -81.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.6%, MDD -37.0%, Sharpe 0.94, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 24.6%, MDD -37.0%, exposure 66%).
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=54, exitN=56 |
24.6% | -37.0% | 0.94 | 0.66 | 199.6x | 40 | 66% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
21.2% | -36.2% | 0.91 | 0.59 | 103.4x | 157 | 48% |
| EMA 크로스오버 fast=23, slow=31 |
21.9% | -37.2% | 0.89 | 0.59 | 117.5x | 123 | 58% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=1.6 |
20.3% | -34.8% | 0.87 | 0.58 | 86.1x | 133 | 48% |
| SMA 크로스오버 fast=9, slow=62 |
21.0% | -35.6% | 0.86 | 0.59 | 98.5x | 137 | 57% |
| Supertrend period=29, mult=5 |
20.9% | -41.1% | 0.86 | 0.51 | 96.8x | 61 | 61% |
| ADX / DI 방향성 period=20, threshold=22 |
15.9% | -33.6% | 0.80 | 0.47 | 34.9x | 138 | 35% |
| ROC 모멘텀 n=65, threshold=-0.01 |
19.3% | -48.6% | 0.79 | 0.40 | 70.0x | 197 | 62% |
| Parabolic SAR step=0.005, maxStep=0.16 |
16.1% | -40.9% | 0.74 | 0.39 | 36.6x | 199 | 53% |
| MACD fast=24, slow=35, signal=24 |
15.2% | -44.9% | 0.73 | 0.34 | 30.4x | 207 | 48% |
| Buy and hold | 23.0% | -81.2% | 0.79 | 0.28 | 147.2x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 56 days