Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marsh backtest
10 trend-following strategies were compared on the full daily history of Marsh. 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 8.1%, drawdown -73.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -83.1%, Sharpe 0.35, 91% 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=4, exitN=61 |
5.5% | -83.1% | 0.35 | 0.07 | 17.7x | 231 | 91% |
| ROC 모멘텀 Hold-like · Exposure 98% n=5, threshold=-0.07 |
3.4% | -86.1% | 0.26 | 0.04 | 5.9x | 263 | 98% |
| Supertrend period=25, mult=4.6 |
2.3% | -63.7% | 0.22 | 0.04 | 3.3x | 221 | 59% |
| EMA 크로스오버 fast=58, slow=219 |
1.7% | -75.8% | 0.19 | 0.02 | 2.5x | 76 | 69% |
| SMA 크로스오버 fast=34, slow=67 |
1.4% | -82.0% | 0.17 | 0.02 | 2.1x | 225 | 60% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
0.5% | -16.4% | 0.15 | 0.03 | 1.3x | 21 | 3% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=34, mult=4 |
0.0% | -58.7% | 0.06 | 0.00 | 1.0x | 145 | 30% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.6% | -83.9% | 0.05 | -0.01 | 0.7x | 461 | 56% |
| ADX / DI 방향성 period=36, threshold=22 |
-0.3% | -60.5% | -0.01 | -0.00 | 0.9x | 64 | 8% |
| MACD fast=16, slow=45, signal=17 |
-3.2% | -88.6% | -0.12 | -0.04 | 0.2x | 687 | 49% |
| Buy and hold | 8.1% | -73.7% | 0.44 | 0.11 | 64.3x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 61 days