Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Test Research, Inc. backtest
10 trend-following strategies were compared on the full daily history of Test Research, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.8%, MDD -39.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.1%, drawdown -78.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -42.4%, Sharpe 0.70, 50% exposure.
CAGR reference leader: Supertrend — CAGR 16.0%, MDD -49.1%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 14.8%, MDD -39.2%, exposure 51%).
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=37, exitN=25 |
15.5% | -42.4% | 0.70 | 0.37 | 30.8x | 88 | 50% |
| Supertrend period=23, mult=4.6 |
16.0% | -49.1% | 0.70 | 0.33 | 34.6x | 82 | 55% |
| 볼린저 밴드 돌파 n=27, k=2.1 |
12.7% | -48.5% | 0.67 | 0.26 | 17.2x | 152 | 31% |
| SMA 크로스오버 fast=22, slow=42 |
14.8% | -39.2% | 0.66 | 0.38 | 26.7x | 138 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=3.1 |
11.8% | -42.6% | 0.61 | 0.28 | 14.2x | 82 | 36% |
| EMA 크로스오버 fast=35, slow=51 |
12.8% | -49.7% | 0.58 | 0.26 | 17.8x | 80 | 62% |
| MACD fast=19, slow=57, signal=12 |
11.7% | -57.2% | 0.56 | 0.21 | 14.0x | 247 | 47% |
| ADX / DI 방향성 period=14, threshold=33 |
8.6% | -34.2% | 0.56 | 0.25 | 7.1x | 98 | 17% |
| ROC 모멘텀 n=49, threshold=-0.03 |
12.2% | -51.4% | 0.55 | 0.24 | 15.5x | 250 | 69% |
| Parabolic SAR step=0.005, maxStep=0.16 |
10.5% | -48.7% | 0.52 | 0.22 | 10.7x | 163 | 46% |
| Buy and hold | 15.1% | -78.2% | 0.58 | 0.19 | 28.8x | 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 37 days
- Sell — Sell when price breaks below the lowest low of the last 25 days