Trend-Following Backtester · Guide · backtest 한국어
equity · US
Advanced Energy Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Advanced Energy Industries, Inc.. 1 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 14.3%, MDD -66.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.4%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.3%, MDD -66.1%, Sharpe 0.52, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 14.3%, MDD -66.1%, exposure 70%).
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=35, exitN=85 |
14.3% | -66.1% | 0.52 | 0.22 | 61.3x | 58 | 70% |
| SMA 크로스오버 fast=6, slow=161 |
11.3% | -72.2% | 0.47 | 0.16 | 26.9x | 114 | 58% |
| Supertrend period=17, mult=5 |
10.9% | -64.7% | 0.46 | 0.17 | 24.4x | 90 | 53% |
| EMA 크로스오버 fast=41, slow=64 |
11.0% | -83.0% | 0.46 | 0.13 | 24.5x | 74 | 58% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
8.2% | -74.3% | 0.41 | 0.11 | 11.4x | 128 | 41% |
| ROC 모멘텀 n=105, threshold=-0.04 |
7.2% | -84.4% | 0.37 | 0.09 | 8.6x | 258 | 64% |
| MACD fast=20, slow=66, signal=22 |
7.0% | -74.4% | 0.37 | 0.09 | 8.0x | 274 | 53% |
| ADX / DI 방향성 period=35, threshold=9 |
6.4% | -81.8% | 0.35 | 0.08 | 6.7x | 332 | 51% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=25, mult=4 |
3.8% | -67.1% | 0.29 | 0.06 | 3.2x | 56 | 13% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-2.5% | -91.6% | 0.14 | -0.03 | 0.5x | 684 | 52% |
| Buy and hold | 11.4% | -92.5% | 0.48 | 0.12 | 27.5x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 85 days