Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Comfortdelgro Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of Comfortdelgro Corporation Limited. 8 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 0.4%, MDD -23.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.0%, drawdown -88.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.5%, MDD -39.2%, Sharpe 0.10, 19% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 49.1%p (CAGR 0.4%, MDD -23.8%, exposure 8%).
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=12 |
0.5% | -39.2% | 0.10 | 0.01 | 1.1x | 80 | 19% |
| 볼린저 밴드 돌파 n=26, k=3.1 |
0.4% | -23.8% | 0.09 | 0.02 | 1.1x | 42 | 8% |
| ADX / DI 방향성 period=44, threshold=17 |
-1.0% | -69.9% | 0.08 | -0.01 | 0.8x | 44 | 17% |
| SMA 크로스오버 fast=38, slow=189 |
-3.6% | -86.2% | 0.01 | -0.04 | 0.4x | 48 | 49% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-1.6% | -63.2% | 0.00 | -0.02 | 0.7x | 281 | 49% |
| EMA 크로스오버 fast=55, slow=124 |
-4.0% | -83.8% | -0.00 | -0.05 | 0.3x | 44 | 50% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=27, mult=2.4 |
-3.4% | -71.7% | -0.04 | -0.05 | 0.4x | 94 | 24% |
| Supertrend period=29, mult=4.9 |
-5.5% | -84.0% | -0.06 | -0.07 | 0.2x | 70 | 53% |
| MACD fast=22, slow=44, signal=16 |
-4.3% | -75.7% | -0.15 | -0.06 | 0.3x | 263 | 50% |
| ROC 모멘텀 n=148, threshold=0.08 |
-8.3% | -89.9% | -0.22 | -0.09 | 0.1x | 204 | 32% |
| Buy and hold | -5.0% | -88.3% | 0.02 | -0.06 | 0.3x | 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 12 days