Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Dom Development S.A. backtest
10 trend-following strategies were compared on the full daily history of Dom Development S.A.. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.8%, MDD -37.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.2%, drawdown -92.0%).
Sharpe leader (same as main): Supertrend — CAGR 10.8%, MDD -37.1%, Sharpe 0.53, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 54.9%p (CAGR 10.8%, MDD -37.1%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=5 |
10.8% | -37.1% | 0.53 | 0.29 | 7.6x | 44 | 56% |
| Donchian 채널 돌파 entryN=44, exitN=69 |
10.3% | -46.1% | 0.49 | 0.22 | 7.0x | 35 | 64% |
| EMA 크로스오버 fast=31, slow=73 |
8.7% | -37.8% | 0.45 | 0.23 | 5.2x | 50 | 60% |
| SMA 크로스오버 fast=18, slow=117 |
8.4% | -44.6% | 0.44 | 0.19 | 5.0x | 55 | 58% |
| ROC 모멘텀 n=134, threshold=-0.04 |
7.3% | -57.4% | 0.40 | 0.13 | 4.1x | 134 | 68% |
| ADX / DI 방향성 period=39, threshold=28 |
1.0% | -5.6% | 0.39 | 0.18 | 1.2x | 4 | 1% |
| 볼린저 밴드 돌파 n=28, k=2.2 |
3.7% | -41.1% | 0.28 | 0.09 | 2.0x | 122 | 29% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=19, mult=2.4 |
2.8% | -39.8% | 0.24 | 0.07 | 1.7x | 80 | 31% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-1.3% | -63.4% | 0.07 | -0.02 | 0.8x | 364 | 51% |
| MACD fast=17, slow=34, signal=18 |
-7.4% | -81.0% | -0.18 | -0.09 | 0.2x | 262 | 48% |
| Buy and hold | 3.2% | -92.0% | 0.27 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)