Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Catena AB backtest
10 trend-following strategies were compared on the full daily history of Catena AB. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.2%, MDD -55.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.4%, drawdown -78.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -59.2%, Sharpe 0.45, 77% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 7.2%, MDD -55.2%, exposure 59%).
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=28, exitN=56 |
8.5% | -59.2% | 0.45 | 0.14 | 8.8x | 56 | 77% |
| Supertrend period=18, mult=3.3 |
7.2% | -55.2% | 0.41 | 0.13 | 6.3x | 128 | 59% |
| SMA 크로스오버 fast=61, slow=227 |
6.1% | -59.0% | 0.37 | 0.10 | 4.9x | 30 | 61% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.7% | -55.7% | 0.36 | 0.10 | 4.3x | 202 | 56% |
| MACD fast=18, slow=53, signal=24 |
5.4% | -69.4% | 0.35 | 0.08 | 4.1x | 239 | 52% |
| ADX / DI 방향성 period=38, threshold=12 |
4.1% | -53.5% | 0.30 | 0.08 | 2.9x | 148 | 39% |
| EMA 크로스오버 fast=58, slow=207 |
3.7% | -56.9% | 0.28 | 0.06 | 2.6x | 28 | 62% |
| 볼린저 밴드 돌파 n=30, k=2.2 |
3.4% | -43.6% | 0.28 | 0.08 | 2.4x | 154 | 33% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=3.4 |
1.3% | -10.0% | 0.24 | 0.13 | 1.4x | 10 | 1% |
| ROC 모멘텀 n=145, threshold=0.08 |
2.2% | -66.7% | 0.22 | 0.03 | 1.8x | 192 | 47% |
| Buy and hold | 6.4% | -78.7% | 0.36 | 0.08 | 5.2x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 56 days