Trend-Following Backtester · Guide · backtest 한국어
equity · KR
ISC backtest
10 trend-following strategies were compared on the full daily history of ISC. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 19.7%, MDD -53.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.8%, drawdown -85.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.1%, MDD -60.5%, Sharpe 0.68, 73% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 19.7%, MDD -53.6%, exposure 54%).
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=42, exitN=80 |
23.1% | -60.5% | 0.68 | 0.38 | 51.0x | 22 | 73% |
| EMA 크로스오버 fast=56, slow=213 |
21.7% | -75.5% | 0.66 | 0.29 | 40.7x | 19 | 60% |
| SMA 크로스오버 fast=54, slow=124 |
20.9% | -71.7% | 0.65 | 0.29 | 36.5x | 32 | 59% |
| ROC 모멘텀 n=101, threshold=0.04 |
19.7% | -53.6% | 0.63 | 0.37 | 30.1x | 156 | 54% |
| Supertrend period=4, mult=4.4 |
12.3% | -71.7% | 0.48 | 0.17 | 9.0x | 60 | 69% |
| 볼린저 밴드 돌파 n=30, k=1 |
10.3% | -61.7% | 0.45 | 0.17 | 6.4x | 193 | 42% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=3.2 |
8.2% | -51.7% | 0.41 | 0.16 | 4.4x | 56 | 27% |
| ADX / DI 방향성 period=11, threshold=11 |
8.1% | -66.9% | 0.40 | 0.12 | 4.4x | 443 | 53% |
| MACD fast=11, slow=37, signal=18 |
7.3% | -63.3% | 0.37 | 0.11 | 3.8x | 259 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
3.1% | -64.3% | 0.27 | 0.05 | 1.8x | 322 | 50% |
| Buy and hold | 15.8% | -85.6% | 0.54 | 0.18 | 15.9x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 80 days