Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Jarir Marketing Co. backtest
10 trend-following strategies were compared on the full daily history of Jarir Marketing Co.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 8.1%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -93.1%, Sharpe 0.35, 75% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=22, exitN=64 |
11.5% | -93.1% | 0.35 | 0.12 | 6.0x | 41 | 75% |
| EMA 크로스오버 fast=59, slow=199 |
6.9% | -94.1% | 0.34 | 0.07 | 3.0x | 17 | 60% |
| ROC 모멘텀 n=95, threshold=-0.04 |
6.0% | -92.7% | 0.34 | 0.07 | 2.6x | 97 | 70% |
| 볼린저 밴드 돌파 n=33, k=2.1 |
5.8% | -92.7% | 0.34 | 0.06 | 2.5x | 84 | 32% |
| ADX / DI 방향성 period=30, threshold=1 |
4.8% | -93.2% | 0.34 | 0.05 | 2.1x | 185 | 56% |
| MACD fast=23, slow=56, signal=24 |
4.3% | -93.9% | 0.34 | 0.05 | 2.0x | 126 | 49% |
| Supertrend period=7, mult=4.7 |
4.2% | -93.2% | 0.34 | 0.04 | 2.0x | 64 | 54% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=21, mult=2.2 |
4.4% | -93.0% | 0.34 | 0.05 | 2.0x | 78 | 32% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.8% | -94.3% | 0.33 | 0.03 | 1.6x | 104 | 49% |
| SMA 크로스오버 fast=57, slow=247 |
10.9% | -92.5% | 0.27 | 0.12 | 5.4x | 13 | 57% |
| Buy and hold | 8.1% | -95.2% | 0.35 | 0.09 | 3.6x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 64 days