Trend-Following Backtester · Guide · backtest 한국어
equity · US
Millicom International Cellular S.A. backtest
10 trend-following strategies were compared on the full daily history of Millicom International Cellular S.A.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.4%, MDD -21.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.4%, drawdown -85.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.0%, MDD -27.5%, Sharpe 1.14, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 26.5%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR 15.4%, MDD -21.8%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=127 |
31.0% | -27.5% | 1.14 | 1.13 | 7.9x | 9 | 53% |
| EMA 크로스오버 fast=35, slow=72 |
27.8% | -27.5% | 1.06 | 1.01 | 6.5x | 9 | 52% |
| ROC 모멘텀 n=133, threshold=-0.02 |
27.8% | -32.8% | 1.05 | 0.85 | 6.5x | 25 | 55% |
| Donchian 채널 돌파 entryN=72, exitN=76 |
25.9% | -26.1% | 1.01 | 1.00 | 5.8x | 7 | 50% |
| Supertrend period=15, mult=4.7 |
26.8% | -31.4% | 0.97 | 0.85 | 6.1x | 17 | 62% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=28, mult=3.5 |
15.4% | -21.8% | 0.75 | 0.70 | 3.0x | 18 | 37% |
| 볼린저 밴드 돌파 n=55, k=2 |
13.7% | -23.9% | 0.68 | 0.57 | 2.7x | 24 | 37% |
| ADX / DI 방향성 period=31, threshold=12 |
12.6% | -39.3% | 0.65 | 0.32 | 2.5x | 40 | 39% |
| MACD fast=21, slow=57, signal=21 |
-6.0% | -70.4% | -0.08 | -0.09 | 0.6x | 80 | 50% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-6.7% | -55.5% | -0.11 | -0.12 | 0.6x | 158 | 50% |
| Buy and hold | 4.4% | -85.0% | 0.31 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 35-day average falls below the 127-day average