Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Ferrotec Corporation backtest
10 trend-following strategies were compared on the full daily history of Ferrotec Corporation. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.6%, MDD -68.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.6%, drawdown -91.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -69.8%, Sharpe 0.51, 70% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 9.6%, MDD -68.6%, exposure 57%).
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=30, exitN=72 |
13.3% | -69.8% | 0.51 | 0.19 | 27.8x | 53 | 70% |
| SMA 크로스오버 fast=24, slow=72 |
9.7% | -82.1% | 0.43 | 0.12 | 11.8x | 94 | 55% |
| ROC 모멘텀 n=72, threshold=-0.01 |
9.6% | -68.6% | 0.43 | 0.14 | 11.4x | 301 | 57% |
| EMA 크로스오버 fast=31, slow=114 |
8.3% | -74.4% | 0.40 | 0.11 | 8.3x | 59 | 54% |
| ADX / DI 방향성 period=35, threshold=33 |
1.7% | -25.1% | 0.31 | 0.07 | 1.6x | 4 | 2% |
| Supertrend period=27, mult=4.8 |
4.7% | -69.2% | 0.31 | 0.07 | 3.4x | 102 | 50% |
| MACD fast=11, slow=41, signal=6 |
2.6% | -85.6% | 0.25 | 0.03 | 2.0x | 548 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
1.6% | -87.4% | 0.22 | 0.02 | 1.5x | 320 | 51% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=27, mult=1.1 |
1.8% | -80.4% | 0.21 | 0.02 | 1.6x | 362 | 36% |
| 볼린저 밴드 돌파 n=30, k=1.9 |
0.7% | -79.5% | 0.17 | 0.01 | 1.2x | 190 | 33% |
| Buy and hold | 7.6% | -91.3% | 0.40 | 0.08 | 6.9x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 72 days