Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Develia S.A. backtest
10 trend-following strategies were compared on the full daily history of Develia S.A.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -42.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.9%, drawdown -91.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -50.0%, Sharpe 0.43, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 4.9%, MDD -42.0%, exposure 18%).
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=87, exitN=76 |
8.7% | -50.0% | 0.43 | 0.17 | 4.9x | 25 | 49% |
| SMA 크로스오버 fast=74, slow=170 |
6.8% | -54.0% | 0.37 | 0.13 | 3.5x | 29 | 56% |
| 볼린저 밴드 돌파 n=29, k=2.7 |
4.9% | -42.0% | 0.34 | 0.12 | 2.5x | 68 | 18% |
| Supertrend period=20, mult=5 |
3.3% | -67.7% | 0.25 | 0.05 | 1.9x | 55 | 57% |
| ROC 모멘텀 n=86, threshold=0.09 |
3.0% | -70.0% | 0.24 | 0.04 | 1.8x | 221 | 34% |
| MACD fast=20, slow=73, signal=20 |
2.8% | -61.1% | 0.24 | 0.05 | 1.7x | 166 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.6% | -68.2% | 0.23 | 0.04 | 1.6x | 140 | 51% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=23, mult=2.7 |
2.6% | -38.1% | 0.23 | 0.07 | 1.6x | 66 | 13% |
| EMA 크로스오버 fast=40, slow=120 |
1.8% | -81.0% | 0.20 | 0.02 | 1.4x | 51 | 60% |
| ADX / DI 방향성 period=31, threshold=12 |
0.8% | -81.4% | 0.16 | 0.01 | 1.2x | 192 | 39% |
| Buy and hold | 2.9% | -91.6% | 0.28 | 0.03 | 1.7x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 76 days