Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Procter & Gamble Hygiene & Health Care Ltd. backtest
10 trend-following strategies were compared on the full daily history of Procter & Gamble Hygiene & Health Care Ltd.. 2 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 13.2%, MDD -28.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.1%, drawdown -63.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -28.7%, Sharpe 0.82, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 13.2%, MDD -28.7%, exposure 53%).
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=91, exitN=65 |
13.2% | -28.7% | 0.82 | 0.46 | 19.8x | 20 | 53% |
| SMA 크로스오버 fast=54, slow=134 |
12.4% | -40.6% | 0.72 | 0.31 | 16.7x | 40 | 58% |
| EMA 크로스오버 fast=48, slow=190 |
11.9% | -52.3% | 0.68 | 0.23 | 15.2x | 30 | 63% |
| Supertrend period=11, mult=4.9 |
11.5% | -38.2% | 0.68 | 0.30 | 13.9x | 30 | 67% |
| ROC 모멘텀 n=190, threshold=0.02 |
9.8% | -44.8% | 0.60 | 0.22 | 9.5x | 170 | 58% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=20, mult=2.5 |
8.0% | -38.4% | 0.58 | 0.21 | 6.4x | 56 | 35% |
| ADX / DI 방향성 period=51, threshold=7 |
9.0% | -48.9% | 0.54 | 0.18 | 7.9x | 168 | 66% |
| 볼린저 밴드 돌파 n=68, k=2.5 |
7.2% | -33.9% | 0.54 | 0.21 | 5.3x | 58 | 34% |
| Parabolic SAR step=0.005, maxStep=0.08 |
3.4% | -58.9% | 0.28 | 0.06 | 2.2x | 172 | 52% |
| MACD fast=16, slow=55, signal=17 |
3.0% | -58.3% | 0.26 | 0.05 | 2.0x | 250 | 54% |
| Buy and hold | 12.1% | -63.1% | 0.61 | 0.19 | 15.9x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 65 days