Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Golden Agri-Resources Ltd backtest
10 trend-following strategies were compared on the full daily history of Golden Agri-Resources Ltd. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.7%, MDD -35.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.7%, drawdown -87.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.1%, MDD -85.9%, Sharpe 0.17, 77% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.9%, MDD -63.3%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 1.9%p (CAGR -0.7%, MDD -35.1%, exposure 2%).
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=16, exitN=70 |
-0.1% | -85.9% | 0.17 | -0.00 | 1.0x | 69 | 77% |
| SMA 크로스오버 fast=37, slow=135 |
0.9% | -63.3% | 0.16 | 0.01 | 1.2x | 44 | 46% |
| Supertrend period=8, mult=3.5 |
-1.0% | -73.1% | 0.10 | -0.01 | 0.8x | 79 | 52% |
| EMA 크로스오버 fast=56, slow=103 |
-1.1% | -68.3% | 0.09 | -0.02 | 0.8x | 43 | 46% |
| ROC 모멘텀 n=102, threshold=0.24 |
-0.7% | -57.2% | 0.05 | -0.01 | 0.9x | 82 | 10% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
-0.5% | -42.5% | 0.04 | -0.01 | 0.9x | 20 | 9% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-4.1% | -82.2% | -0.01 | -0.05 | 0.4x | 379 | 48% |
| ADX / DI 방향성 period=35, threshold=30 |
-0.7% | -35.1% | -0.04 | -0.02 | 0.9x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=15, mult=3.7 |
-2.2% | -51.6% | -0.08 | -0.04 | 0.7x | 26 | 9% |
| MACD fast=11, slow=33, signal=19 |
-6.4% | -88.2% | -0.10 | -0.07 | 0.3x | 283 | 50% |
| Buy and hold | -2.7% | -87.8% | 0.13 | -0.03 | 0.6x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 70 days