Trend-Following Backtester · Guide · backtest 한국어
equity · US
Freddie Mac backtest
10 trend-following strategies were compared on the full daily history of Freddie Mac. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.9%, MDD -68.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.7%, drawdown -99.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.1%, MDD -83.9%, Sharpe 0.51, 75% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 10.9%, MDD -68.5%, exposure 28%).
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=25, exitN=80 |
15.1% | -83.9% | 0.51 | 0.18 | 202.1x | 79 | 75% |
| EMA 크로스오버 fast=14, slow=276 |
12.2% | -90.1% | 0.48 | 0.14 | 76.9x | 62 | 50% |
| ADX / DI 방향성 period=10, threshold=34 |
11.3% | -73.9% | 0.43 | 0.15 | 56.7x | 270 | 17% |
| 볼린저 밴드 돌파 n=33, k=2.1 |
10.9% | -72.3% | 0.43 | 0.15 | 49.8x | 202 | 30% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=10, mult=2.5 |
10.9% | -68.5% | 0.43 | 0.16 | 49.4x | 156 | 28% |
| SMA 크로스오버 fast=11, slow=39 |
10.2% | -86.4% | 0.42 | 0.12 | 38.8x | 264 | 51% |
| MACD fast=16, slow=45, signal=24 |
4.5% | -99.2% | 0.38 | 0.05 | 5.2x | 391 | 50% |
| ROC 모멘텀 n=112, threshold=0.02 |
7.5% | -86.7% | 0.38 | 0.09 | 15.0x | 322 | 52% |
| Supertrend period=20, mult=3.2 |
6.4% | -87.3% | 0.34 | 0.07 | 10.4x | 232 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-0.5% | -99.7% | 0.27 | -0.01 | 0.8x | 714 | 49% |
| Buy and hold | 0.7% | -99.7% | 0.39 | 0.01 | 1.3x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 80 days