Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Sun TV Network Limited backtest
10 trend-following strategies were compared on the full daily history of Sun TV Network Limited. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.0%, MDD -9.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.2%, drawdown -75.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.0%, MDD -9.4%, Sharpe 0.32, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.1%, MDD -50.2%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 65.9%p (CAGR 1.0%, MDD -9.4%, exposure 1%).
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=18, atrPeriod=10, mult=4 |
1.0% | -9.4% | 0.32 | 0.11 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=59, slow=132 |
4.1% | -50.2% | 0.29 | 0.08 | 2.3x | 42 | 49% |
| ADX / DI 방향성 period=38, threshold=26 |
1.0% | -16.6% | 0.24 | 0.06 | 1.2x | 6 | 2% |
| Supertrend period=22, mult=3.8 |
2.5% | -63.4% | 0.23 | 0.04 | 1.6x | 70 | 55% |
| Donchian 채널 돌파 entryN=11, exitN=104 |
1.7% | -68.0% | 0.23 | 0.03 | 1.4x | 46 | 83% |
| EMA 크로스오버 fast=48, slow=184 |
2.0% | -56.8% | 0.21 | 0.04 | 1.5x | 26 | 50% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
0.6% | -36.0% | 0.12 | 0.02 | 1.1x | 30 | 14% |
| MACD fast=22, slow=40, signal=19 |
-3.3% | -77.5% | 0.04 | -0.04 | 0.5x | 218 | 52% |
| ROC 모멘텀 n=77, threshold=0.13 |
-1.3% | -66.1% | 0.03 | -0.02 | 0.8x | 188 | 28% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.0% | -73.0% | -0.00 | -0.05 | 0.4x | 172 | 52% |
| Buy and hold | 1.2% | -75.3% | 0.24 | 0.02 | 1.3x | 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 18-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average