Trend-Following Backtester · Guide · backtest 한국어
equity · US
First backtest
10 trend-following strategies were compared on the full daily history of First. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -79.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.3%, MDD -79.7%, Sharpe 0.23, 87% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=24, exitN=153 |
2.3% | -79.7% | 0.23 | 0.03 | 2.2x | 41 | 87% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=4 |
0.7% | -19.0% | 0.20 | 0.04 | 1.3x | 20 | 3% |
| SMA 크로스오버 fast=45, slow=105 |
2.0% | -56.6% | 0.20 | 0.03 | 1.9x | 91 | 56% |
| ROC 모멘텀 Hold-like · Exposure 97% n=24, threshold=-0.15 |
-1.3% | -94.5% | 0.13 | -0.01 | 0.6x | 131 | 97% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
0.4% | -15.6% | 0.11 | 0.03 | 1.1x | 20 | 2% |
| MACD fast=39, slow=91, signal=32 |
-1.4% | -87.2% | 0.07 | -0.02 | 0.6x | 192 | 52% |
| EMA 크로스오버 fast=46, slow=195 |
-2.3% | -82.4% | 0.02 | -0.03 | 0.4x | 65 | 57% |
| ADX / DI 방향성 period=31, threshold=29 |
-0.1% | -21.1% | 0.00 | -0.00 | 1.0x | 20 | 3% |
| Supertrend period=10, mult=4.7 |
-4.5% | -93.5% | -0.06 | -0.05 | 0.2x | 137 | 54% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-7.5% | -97.0% | -0.20 | -0.08 | 0.1x | 295 | 51% |
| Buy and hold | 3.6% | -79.8% | 0.28 | 0.05 | 3.4x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 153 days