Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Fletcher Building Limited backtest
10 trend-following strategies were compared on the full daily history of Fletcher Building Limited. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.1%, MDD -30.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.9%, drawdown -78.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.1%, MDD -30.8%, Sharpe 0.46, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.4%, MDD -48.2%, exposure 42%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 4.1%, MDD -30.8%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=16, mult=4 |
4.1% | -30.8% | 0.46 | 0.13 | 2.8x | 34 | 16% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
3.5% | -51.2% | 0.33 | 0.07 | 2.4x | 79 | 25% |
| Donchian 채널 돌파 entryN=94, exitN=18 |
4.4% | -48.2% | 0.30 | 0.09 | 3.0x | 53 | 42% |
| SMA 크로스오버 fast=38, slow=208 |
3.2% | -62.9% | 0.28 | 0.05 | 2.3x | 27 | 43% |
| MACD fast=22, slow=69, signal=22 |
4.0% | -51.8% | 0.27 | 0.08 | 2.7x | 159 | 61% |
| EMA 크로스오버 fast=23, slow=186 |
3.0% | -64.3% | 0.27 | 0.05 | 2.1x | 35 | 45% |
| ROC 모멘텀 n=134, threshold=-0.03 |
1.9% | -67.3% | 0.18 | 0.03 | 1.6x | 177 | 67% |
| ADX / DI 방향성 period=30, threshold=22 |
1.0% | -47.3% | 0.16 | 0.02 | 1.3x | 48 | 12% |
| Parabolic SAR step=0.02, maxStep=0.04 |
0.7% | -60.4% | 0.13 | 0.01 | 1.2x | 199 | 62% |
| Supertrend period=23, mult=4.4 |
0.5% | -72.6% | 0.12 | 0.01 | 1.1x | 89 | 43% |
| Buy and hold | 1.9% | -78.9% | 0.20 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 42-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 42-day average