Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Minor International Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Minor International Public Co., Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -47.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.5%, drawdown -69.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -47.7%, Sharpe 0.52, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 12.4%, MDD -47.7%, exposure 85%).
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=11, exitN=72 |
12.4% | -47.7% | 0.52 | 0.26 | 22.4x | 75 | 85% |
| SMA 크로스오버 fast=15, slow=156 |
10.6% | -58.8% | 0.50 | 0.18 | 14.4x | 77 | 59% |
| EMA 크로스오버 fast=22, slow=191 |
9.6% | -54.8% | 0.47 | 0.18 | 11.5x | 49 | 61% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
4.4% | -19.9% | 0.41 | 0.22 | 3.2x | 18 | 12% |
| ADX / DI 방향성 period=33, threshold=15 |
6.2% | -53.5% | 0.38 | 0.12 | 4.9x | 130 | 36% |
| MACD fast=14, slow=46, signal=28 |
6.6% | -67.7% | 0.38 | 0.10 | 5.5x | 240 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=21, mult=4 |
5.2% | -40.6% | 0.37 | 0.13 | 3.8x | 46 | 20% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.4% | -68.8% | 0.37 | 0.09 | 5.2x | 170 | 54% |
| ROC 모멘텀 n=109, threshold=0.14 |
5.4% | -54.6% | 0.35 | 0.10 | 4.0x | 170 | 32% |
| Supertrend period=7, mult=5 |
5.0% | -59.3% | 0.32 | 0.08 | 3.7x | 79 | 58% |
| Buy and hold | 11.5% | -69.7% | 0.48 | 0.17 | 18.1x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 72 days