Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Castellum AB backtest
10 trend-following strategies were compared on the full daily history of Castellum AB. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -58.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -46.5%, Sharpe 0.41, 61% 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=154, exitN=107 |
6.0% | -46.5% | 0.41 | 0.13 | 4.8x | 19 | 61% |
| EMA 크로스오버 fast=75, slow=168 |
6.0% | -47.1% | 0.39 | 0.13 | 4.7x | 31 | 69% |
| SMA 크로스오버 fast=58, slow=192 |
5.4% | -49.6% | 0.37 | 0.11 | 4.1x | 35 | 64% |
| ROC 모멘텀 n=199, threshold=-0.02 |
3.7% | -63.2% | 0.29 | 0.06 | 2.7x | 145 | 71% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
1.4% | -25.1% | 0.26 | 0.05 | 1.4x | 14 | 6% |
| Supertrend period=17, mult=3.2 |
2.6% | -68.3% | 0.23 | 0.04 | 2.0x | 147 | 66% |
| MACD fast=20, slow=47, signal=24 |
2.5% | -50.0% | 0.22 | 0.05 | 2.0x | 254 | 53% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=11, mult=3.6 |
0.1% | -12.2% | 0.06 | 0.01 | 1.0x | 10 | 1% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.4% | -76.9% | -0.01 | -0.03 | 0.5x | 478 | 59% |
| ADX / DI 방향성 period=16, threshold=35 |
-0.6% | -31.8% | -0.10 | -0.02 | 0.9x | 42 | 4% |
| Buy and hold | 8.6% | -58.9% | 0.43 | 0.15 | 9.1x | 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 154 days
- Sell — Sell when price breaks below the lowest low of the last 107 days