Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Dexerials Corp. backtest
10 trend-following strategies were compared on the full daily history of Dexerials Corp.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.1%, MDD -21.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.1%, drawdown -65.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.0%, MDD -34.0%, Sharpe 0.88, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 15.1%, MDD -21.0%, exposure 22%).
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=53, exitN=16 |
21.0% | -34.0% | 0.88 | 0.62 | 8.3x | 40 | 38% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=3.7 |
16.1% | -30.3% | 0.85 | 0.53 | 5.2x | 26 | 24% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
15.1% | -21.0% | 0.82 | 0.72 | 4.8x | 20 | 22% |
| EMA 크로스오버 fast=28, slow=158 |
20.7% | -43.2% | 0.71 | 0.48 | 8.0x | 19 | 58% |
| SMA 크로스오버 fast=8, slow=96 |
19.3% | -42.6% | 0.70 | 0.45 | 7.1x | 34 | 56% |
| Supertrend period=13, mult=4.1 |
16.5% | -47.3% | 0.64 | 0.35 | 5.4x | 52 | 54% |
| ROC 모멘텀 n=136, threshold=0 |
17.7% | -44.8% | 0.64 | 0.40 | 6.1x | 47 | 57% |
| ADX / DI 방향성 period=7, threshold=23 |
10.0% | -51.1% | 0.47 | 0.20 | 2.9x | 244 | 44% |
| MACD fast=19, slow=71, signal=13 |
7.8% | -64.5% | 0.40 | 0.12 | 2.3x | 130 | 51% |
| Parabolic SAR step=0.04, maxStep=0.12 |
1.6% | -70.5% | 0.21 | 0.02 | 1.2x | 275 | 52% |
| Buy and hold | 17.1% | -65.6% | 0.58 | 0.26 | 5.8x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 16 days