Trend-Following Backtester · Guide · backtest 한국어
equity · CA
West Fraser Timber Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of West Fraser Timber Co. Ltd.. 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 6.9%, drawdown -76.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -68.8%, Sharpe 0.37, 80% 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=28, exitN=95 |
6.6% | -68.8% | 0.37 | 0.10 | 13.2x | 77 | 80% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
2.4% | -27.6% | 0.32 | 0.09 | 2.6x | 36 | 10% |
| SMA 크로스오버 fast=54, slow=111 |
4.0% | -65.7% | 0.29 | 0.06 | 4.9x | 99 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.2% | -66.4% | 0.25 | 0.05 | 3.6x | 313 | 54% |
| MACD fast=21, slow=43, signal=19 |
1.6% | -73.5% | 0.18 | 0.02 | 1.9x | 412 | 51% |
| EMA 크로스오버 fast=48, slow=168 |
1.6% | -70.9% | 0.18 | 0.02 | 1.9x | 69 | 55% |
| ADX / DI 방향성 period=24, threshold=29 |
1.2% | -43.4% | 0.17 | 0.03 | 1.6x | 84 | 10% |
| Supertrend period=8, mult=4.7 |
0.1% | -67.6% | 0.12 | 0.00 | 1.0x | 203 | 55% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=14, mult=3.6 |
0.4% | -44.0% | 0.10 | 0.01 | 1.2x | 134 | 21% |
| ROC 모멘텀 n=138, threshold=0.02 |
-0.4% | -70.8% | 0.09 | -0.01 | 0.8x | 352 | 52% |
| Buy and hold | 6.9% | -76.8% | 0.36 | 0.09 | 14.9x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 95 days