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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.8%, MDD -25.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.0%, drawdown -64.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -51.1%, Sharpe 0.50, 86% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.3%, MDD -46.5%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 6.8%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=89 |
9.1% | -51.1% | 0.50 | 0.18 | 3.6x | 36 | 86% |
| ROC 모멘텀 Hold-like · Exposure 96% n=21, threshold=-0.11 |
9.3% | -46.5% | 0.50 | 0.20 | 3.7x | 35 | 96% |
| Supertrend period=25, mult=4.2 |
7.8% | -34.1% | 0.49 | 0.23 | 3.0x | 54 | 62% |
| EMA 크로스오버 fast=23, slow=168 |
6.8% | -25.8% | 0.44 | 0.26 | 2.6x | 26 | 62% |
| SMA 크로스오버 fast=33, slow=145 |
6.7% | -34.4% | 0.43 | 0.19 | 2.6x | 28 | 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 |
4.4% | -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 | 7.0% | -64.7% | 0.40 | 0.11 | 2.7x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 89 days