Trend-Following Backtester · Guide · backtest 한국어
equity · KW
Mabanee Company (SAKC) backtest
10 trend-following strategies were compared on the full daily history of Mabanee Company (SAKC). 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -51.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.5%, drawdown -99.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.3%, MDD -30.1%, Sharpe 0.64, 14% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.2%, MDD -51.3%, exposure 62%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.2%p lower than buy and hold, while drawdown improves by 69.8%p (CAGR 11.2%, MDD -51.3%, exposure 62%).
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=21, atrPeriod=8, mult=3.7 |
8.3% | -30.1% | 0.64 | 0.28 | 7.5x | 56 | 14% |
| 볼린저 밴드 돌파 n=23, k=1.9 |
7.7% | -43.7% | 0.52 | 0.18 | 6.5x | 184 | 30% |
| Donchian 채널 돌파 entryN=61, exitN=52 |
11.2% | -51.3% | 0.52 | 0.22 | 14.6x | 58 | 62% |
| ROC 모멘텀 n=234, threshold=0.08 |
7.3% | -52.6% | 0.44 | 0.14 | 5.9x | 140 | 50% |
| SMA 크로스오버 fast=33, slow=136 |
7.7% | -55.5% | 0.44 | 0.14 | 6.5x | 50 | 57% |
| Parabolic SAR step=0.01, maxStep=0.28 |
6.2% | -55.3% | 0.39 | 0.11 | 4.5x | 216 | 49% |
| EMA 크로스오버 fast=60, slow=211 |
7.4% | -66.4% | 0.38 | 0.11 | 6.1x | 31 | 70% |
| MACD fast=17, slow=56, signal=19 |
-14.9% | -99.9% | 0.32 | -0.15 | 0.0x | 216 | 50% |
| ADX / DI 방향성 period=23, threshold=15 |
4.0% | -47.1% | 0.30 | 0.08 | 2.7x | 238 | 42% |
| Supertrend period=5, mult=4.6 |
-16.3% | -99.9% | 0.27 | -0.16 | 0.0x | 114 | 57% |
| Buy and hold | 14.5% | -99.9% | 0.20 | 0.15 | 30.4x | 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 21-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average