Trend-Following Backtester · Guide · backtest 한국어
equity · PL
TORPOL S.A. backtest
10 trend-following strategies were compared on the full daily history of TORPOL S.A.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.2%, MDD -42.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.6%, drawdown -78.7%).
Sharpe leader (same as main): MACD — CAGR 20.8%, MDD -47.3%, Sharpe 0.83, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 20.2%, MDD -42.7%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=59, signal=15 |
20.8% | -47.3% | 0.83 | 0.44 | 9.5x | 121 | 50% |
| Supertrend period=30, mult=4.9 |
20.2% | -42.7% | 0.77 | 0.47 | 8.9x | 29 | 63% |
| Donchian 채널 돌파 entryN=84, exitN=11 |
13.9% | -26.9% | 0.77 | 0.52 | 4.7x | 40 | 26% |
| Parabolic SAR step=0.01, maxStep=0.14 |
18.3% | -49.6% | 0.74 | 0.37 | 7.4x | 128 | 54% |
| 볼린저 밴드 돌파 n=34, k=1.6 |
15.0% | -27.1% | 0.72 | 0.55 | 5.3x | 73 | 38% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=18, mult=3.7 |
12.1% | -22.2% | 0.71 | 0.54 | 3.9x | 28 | 23% |
| SMA 크로스오버 fast=32, slow=74 |
17.5% | -43.8% | 0.70 | 0.40 | 6.8x | 44 | 56% |
| EMA 크로스오버 fast=45, slow=56 |
15.7% | -43.8% | 0.65 | 0.36 | 5.7x | 33 | 57% |
| ROC 모멘텀 n=83, threshold=-0.01 |
13.7% | -41.5% | 0.58 | 0.33 | 4.6x | 111 | 60% |
| ADX / DI 방향성 period=22, threshold=19 |
4.5% | -36.2% | 0.32 | 0.12 | 1.7x | 80 | 26% |
| Buy and hold | 19.6% | -78.7% | 0.65 | 0.25 | 8.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/59) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line