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.. 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 13.3%, MDD -28.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -54.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -28.7%, Sharpe 0.82, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 25.3%p (CAGR 13.3%, MDD -28.7%, exposure 54%).
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 |
13.3% | -28.7% | 0.82 | 0.46 | 19.8x | 20 | 54% |
| 볼린저 밴드 돌파 n=101, k=2.6 |
11.6% | -32.8% | 0.80 | 0.35 | 13.9x | 28 | 35% |
| SMA 크로스오버 fast=58, slow=124 |
12.8% | -41.5% | 0.74 | 0.31 | 17.7x | 44 | 59% |
| EMA 크로스오버 fast=53, slow=181 |
12.2% | -49.4% | 0.69 | 0.25 | 15.8x | 30 | 63% |
| Supertrend period=11, mult=4.9 |
11.6% | -38.2% | 0.68 | 0.30 | 13.9x | 30 | 68% |
| ROC 모멘텀 n=188, threshold=0.07 |
10.4% | -44.5% | 0.66 | 0.23 | 10.8x | 114 | 50% |
| ADX / DI 방향성 period=70, threshold=7 |
10.4% | -46.2% | 0.60 | 0.23 | 10.7x | 116 | 67% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=13, mult=1.5 |
8.4% | -37.0% | 0.58 | 0.23 | 6.9x | 92 | 43% |
| MACD fast=17, slow=56, signal=16 |
3.1% | -57.1% | 0.27 | 0.05 | 2.1x | 247 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.1% | -61.7% | 0.26 | 0.05 | 2.1x | 174 | 52% |
| Buy and hold | 13.3% | -54.0% | 0.65 | 0.25 | 20.1x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 65 days