Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Frencken Group Limited backtest
10 trend-following strategies were compared on the full daily history of Frencken Group Limited. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.9%, MDD -41.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.9%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -51.3%, Sharpe 0.57, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 12.9%, MDD -41.5%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=218 |
13.8% | -51.3% | 0.57 | 0.27 | 15.6x | 25 | 53% |
| Donchian 채널 돌파 entryN=77, exitN=74 |
12.9% | -41.5% | 0.55 | 0.31 | 13.4x | 28 | 52% |
| EMA 크로스오버 fast=23, slow=118 |
11.7% | -54.5% | 0.52 | 0.22 | 10.6x | 43 | 52% |
| ADX / DI 방향성 period=38, threshold=14 |
4.8% | -77.9% | 0.31 | 0.06 | 2.7x | 104 | 40% |
| ROC 모멘텀 n=77, threshold=-0.01 |
3.6% | -87.6% | 0.27 | 0.04 | 2.1x | 250 | 56% |
| Supertrend period=7, mult=4.3 |
2.0% | -90.4% | 0.22 | 0.02 | 1.5x | 120 | 57% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
1.6% | -39.3% | 0.19 | 0.04 | 1.4x | 40 | 7% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-2.2% | -91.7% | 0.08 | -0.02 | 0.6x | 274 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=24, mult=3 |
-2.3% | -91.3% | 0.02 | -0.03 | 0.6x | 100 | 30% |
| MACD fast=17, slow=56, signal=17 |
-5.0% | -92.3% | -0.01 | -0.05 | 0.3x | 238 | 51% |
| Buy and hold | 8.9% | -76.7% | 0.41 | 0.12 | 6.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 40-day average falls below the 218-day average