Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trinity Capital Inc. backtest
10 trend-following strategies were compared on the full daily history of Trinity Capital Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.7%, MDD -30.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.9%, drawdown -49.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.7%, MDD -30.6%, Sharpe 0.30, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 18.5%p (CAGR 3.7%, MDD -30.6%, exposure 49%).
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=25, exitN=24 |
3.7% | -30.6% | 0.30 | 0.12 | 1.2x | 23 | 49% |
| 볼린저 밴드 돌파 n=32, k=1.1 |
2.9% | -21.1% | 0.26 | 0.14 | 1.2x | 47 | 39% |
| EMA 크로스오버 fast=10, slow=49 |
3.0% | -25.6% | 0.25 | 0.12 | 1.2x | 25 | 54% |
| Supertrend period=26, mult=2.6 |
2.0% | -43.4% | 0.20 | 0.05 | 1.1x | 33 | 58% |
| ADX / DI 방향성 period=20, threshold=11 |
1.7% | -22.2% | 0.18 | 0.07 | 1.1x | 67 | 45% |
| ROC 모멘텀 n=132, threshold=-0.02 |
1.3% | -35.0% | 0.16 | 0.04 | 1.1x | 45 | 60% |
| SMA 크로스오버 fast=17, slow=42 |
0.8% | -25.6% | 0.14 | 0.03 | 1.0x | 37 | 51% |
| MACD fast=23, slow=53, signal=24 |
-1.7% | -33.8% | -0.00 | -0.05 | 0.9x | 51 | 49% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=1.5 |
-1.7% | -33.3% | -0.03 | -0.05 | 0.9x | 33 | 40% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-18.1% | -68.3% | -0.97 | -0.26 | 0.3x | 194 | 53% |
| Buy and hold | 3.9% | -49.1% | 0.28 | 0.08 | 1.2x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 24 days