Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Secure Waste Infrastructure Corp. backtest
10 trend-following strategies were compared on the full daily history of Secure Waste Infrastructure Corp.. 5 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 15.6%, MDD -34.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.8%, drawdown -97.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.4%, MDD -61.6%, Sharpe 0.77, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 15.6%, MDD -34.7%, exposure 30%).
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=69, exitN=73 |
20.4% | -61.6% | 0.77 | 0.33 | 20.5x | 17 | 59% |
| 볼린저 밴드 돌파 n=59, k=2.5 |
15.6% | -34.7% | 0.72 | 0.45 | 10.7x | 39 | 30% |
| SMA 크로스오버 fast=26, slow=162 |
18.6% | -50.6% | 0.70 | 0.37 | 16.1x | 27 | 61% |
| EMA 크로스오버 fast=21, slow=83 |
16.5% | -71.8% | 0.66 | 0.23 | 12.1x | 45 | 60% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=2.5 |
12.7% | -65.0% | 0.60 | 0.20 | 7.0x | 63 | 39% |
| ROC 모멘텀 n=149, threshold=0.14 |
13.1% | -51.2% | 0.58 | 0.26 | 7.4x | 119 | 48% |
| Supertrend period=8, mult=3.8 |
10.8% | -80.2% | 0.48 | 0.13 | 5.3x | 77 | 59% |
| ADX / DI 방향성 period=23, threshold=15 |
9.2% | -62.4% | 0.46 | 0.15 | 4.2x | 126 | 40% |
| MACD fast=13, slow=40, signal=16 |
3.0% | -87.5% | 0.25 | 0.03 | 1.6x | 207 | 51% |
| Parabolic SAR step=0.045, maxStep=0.26 |
-2.5% | -78.8% | 0.10 | -0.03 | 0.7x | 563 | 53% |
| Buy and hold | 12.8% | -97.1% | 0.49 | 0.13 | 7.1x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 73 days