Trend-Following Backtester · Guide · backtest 한국어
equity · US
PriceSmart, Inc. backtest
10 trend-following strategies were compared on the full daily history of PriceSmart, Inc.. 3 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 9.9%, MDD -60.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.2%, drawdown -89.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -60.2%, Sharpe 0.49, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 9.9%, MDD -60.2%, exposure 53%).
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=80, exitN=70 |
9.9% | -60.2% | 0.49 | 0.16 | 15.6x | 37 | 53% |
| SMA 크로스오버 fast=54, slow=204 |
9.4% | -67.5% | 0.46 | 0.14 | 13.4x | 41 | 58% |
| EMA 크로스오버 fast=53, slow=217 |
8.8% | -72.5% | 0.44 | 0.12 | 11.4x | 41 | 58% |
| ROC 모멘텀 n=144, threshold=0.05 |
3.8% | -81.0% | 0.27 | 0.05 | 3.0x | 263 | 50% |
| MACD fast=18, slow=37, signal=19 |
2.5% | -64.1% | 0.23 | 0.04 | 2.1x | 342 | 50% |
| Supertrend period=34, mult=2.6 |
2.5% | -71.7% | 0.23 | 0.04 | 2.1x | 226 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.3% | -71.6% | 0.22 | 0.03 | 1.9x | 226 | 50% |
| ADX / DI 방향성 period=13, threshold=38 |
0.8% | -35.0% | 0.13 | 0.02 | 1.3x | 92 | 9% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=20, mult=2.1 |
0.2% | -64.6% | 0.12 | 0.00 | 1.1x | 150 | 35% |
| 볼린저 밴드 돌파 n=44, k=1.9 |
-0.1% | -65.0% | 0.10 | -0.00 | 1.0x | 160 | 33% |
| Buy and hold | 8.2% | -89.1% | 0.40 | 0.09 | 9.8x | 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 80 days
- Sell — Sell when price breaks below the lowest low of the last 70 days