Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chroma Ate Inc. backtest
10 trend-following strategies were compared on the full daily history of Chroma Ate Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.8%, MDD -47.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.6%, drawdown -80.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.8%, MDD -51.7%, Sharpe 0.68, 82% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 16.8%, MDD -47.7%, exposure 58%).
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=59 |
19.8% | -51.7% | 0.68 | 0.38 | 123.7x | 81 | 82% |
| SMA 크로스오버 fast=46, slow=65 |
17.3% | -58.6% | 0.66 | 0.30 | 70.4x | 116 | 57% |
| Supertrend period=10, mult=3.7 |
16.8% | -47.7% | 0.65 | 0.35 | 62.7x | 109 | 58% |
| ADX / DI 방향성 period=33, threshold=23 |
11.8% | -37.0% | 0.62 | 0.32 | 19.7x | 52 | 19% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
9.0% | -38.0% | 0.57 | 0.24 | 10.0x | 36 | 14% |
| EMA 크로스오버 fast=26, slow=51 |
13.4% | -60.3% | 0.56 | 0.22 | 28.8x | 110 | 60% |
| ROC 모멘텀 n=61, threshold=-0.02 |
13.2% | -58.1% | 0.55 | 0.23 | 27.2x | 316 | 62% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=2.2 |
10.5% | -55.7% | 0.50 | 0.19 | 14.4x | 126 | 40% |
| MACD fast=22, slow=70, signal=18 |
8.4% | -67.8% | 0.42 | 0.12 | 8.7x | 228 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-2.1% | -86.5% | 0.08 | -0.02 | 0.6x | 434 | 52% |
| Buy and hold | 15.6% | -80.5% | 0.56 | 0.19 | 47.9x | 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 59 days