Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Chorus Limited backtest
10 trend-following strategies were compared on the full daily history of Chorus Limited. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.2%, MDD -25.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.6%, drawdown -64.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -46.5%, Sharpe 0.52, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 7.2%, MDD -25.8%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=21, threshold=-0.11 |
9.9% | -46.5% | 0.52 | 0.21 | 4.0x | 35 | 96% |
| Donchian 채널 돌파 entryN=12, exitN=89 |
9.5% | -51.1% | 0.52 | 0.19 | 3.8x | 35 | 86% |
| Supertrend period=25, mult=4.2 |
8.2% | -34.1% | 0.51 | 0.24 | 3.2x | 53 | 62% |
| EMA 크로스오버 fast=23, slow=168 |
7.2% | -25.8% | 0.46 | 0.28 | 2.8x | 25 | 62% |
| SMA 크로스오버 fast=33, slow=145 |
6.8% | -34.4% | 0.44 | 0.20 | 2.6x | 27 | 62% |
| MACD fast=41, slow=51, signal=18 |
5.9% | -25.6% | 0.42 | 0.23 | 2.3x | 102 | 49% |
| 볼린저 밴드 돌파 n=66, k=2.3 |
4.5% | -34.0% | 0.37 | 0.13 | 1.9x | 44 | 35% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=3.2 |
3.7% | -38.3% | 0.33 | 0.10 | 1.7x | 46 | 31% |
| ADX / DI 방향성 period=51, threshold=11 |
1.9% | -36.7% | 0.20 | 0.05 | 1.3x | 82 | 35% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.8% | -40.7% | 0.19 | 0.04 | 1.3x | 126 | 54% |
| Buy and hold | 7.6% | -64.7% | 0.42 | 0.12 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 21-day return is greater than -11%
- Sell — Sell when the 21-day return drops to -11% or below