Trend-Following Backtester · Guide · backtest 한국어
equity · US
Frontline Plc backtest
10 trend-following strategies were compared on the full daily history of Frontline Plc. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -40.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.6%, drawdown -98.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -78.0%, Sharpe 0.42, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 2.8%, MDD -40.0%, exposure 4%).
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=47, exitN=77 |
9.1% | -78.0% | 0.42 | 0.12 | 8.8x | 43 | 60% |
| SMA 크로스오버 fast=33, slow=120 |
8.3% | -81.2% | 0.40 | 0.10 | 7.3x | 47 | 51% |
| EMA 크로스오버 fast=53, slow=88 |
7.3% | -81.2% | 0.37 | 0.09 | 5.8x | 43 | 51% |
| ROC 모멘텀 n=98, threshold=0 |
3.9% | -88.4% | 0.29 | 0.04 | 2.6x | 227 | 52% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
2.8% | -40.0% | 0.24 | 0.07 | 2.0x | 16 | 4% |
| Supertrend period=15, mult=4.7 |
-1.2% | -87.4% | 0.17 | -0.01 | 0.7x | 111 | 49% |
| ADX / DI 방향성 period=20, threshold=9 |
-3.4% | -94.7% | 0.13 | -0.04 | 0.4x | 438 | 52% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=12, mult=1.3 |
-5.9% | -92.1% | 0.00 | -0.06 | 0.2x | 242 | 37% |
| MACD fast=8, slow=51, signal=13 |
-11.1% | -98.7% | -0.04 | -0.11 | 0.1x | 445 | 52% |
| Parabolic SAR step=0.035, maxStep=0.36 |
-11.9% | -99.3% | -0.09 | -0.12 | 0.0x | 747 | 50% |
| Buy and hold | -2.6% | -98.9% | 0.26 | -0.03 | 0.5x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 77 days