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 17.0%, MDD -21.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.7%, drawdown -85.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.7%, MDD -27.5%, Sharpe 1.18, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 26.9%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR 17.0%, 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 |
31.7% | -27.5% | 1.18 | 1.15 | 8.0x | 9 | 53% |
| EMA 크로스오버 fast=35, slow=72 |
28.5% | -27.5% | 1.11 | 1.04 | 6.7x | 9 | 51% |
| ROC 모멘텀 n=133, threshold=-0.02 |
28.5% | -32.8% | 1.09 | 0.87 | 6.6x | 25 | 54% |
| Donchian 채널 돌파 entryN=72, exitN=76 |
26.6% | -26.1% | 1.06 | 1.02 | 5.9x | 7 | 49% |
| Supertrend period=15, mult=4.7 |
27.4% | -31.4% | 1.00 | 0.87 | 6.3x | 17 | 61% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=28, mult=3.5 |
17.0% | -21.8% | 0.84 | 0.78 | 3.3x | 17 | 37% |
| 볼린저 밴드 돌파 n=55, k=2 |
15.3% | -23.9% | 0.77 | 0.64 | 2.9x | 23 | 37% |
| ADX / DI 방향성 period=31, threshold=12 |
12.8% | -39.3% | 0.66 | 0.32 | 2.5x | 40 | 40% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-4.4% | -55.5% | -0.02 | -0.08 | 0.7x | 156 | 51% |
| MACD fast=21, slow=57, signal=21 |
-6.1% | -70.4% | -0.09 | -0.09 | 0.6x | 80 | 50% |
| Buy and hold | 4.7% | -85.0% | 0.32 | 0.06 | 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