Trend-Following Backtester · Guide · backtest 한국어
equity · US
Concrete Pumping Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Concrete Pumping Holdings, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.8%, MDD -37.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.0%, drawdown -84.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -61.7%, Sharpe 0.34, 72% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 1.8%, MDD -37.3%, exposure 19%).
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=11, exitN=29 |
5.0% | -61.7% | 0.34 | 0.08 | 1.5x | 46 | 72% |
| MACD fast=13, slow=36, signal=16 |
3.9% | -59.9% | 0.30 | 0.07 | 1.4x | 126 | 50% |
| Supertrend period=14, mult=3.9 |
1.8% | -66.8% | 0.25 | 0.03 | 1.2x | 42 | 59% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=17, mult=2.5 |
1.8% | -37.3% | 0.20 | 0.05 | 1.2x | 34 | 19% |
| ROC 모멘텀 n=70, threshold=0.06 |
0.9% | -56.7% | 0.19 | 0.02 | 1.1x | 99 | 33% |
| Parabolic SAR step=0.035, maxStep=0.14 |
-0.7% | -68.4% | 0.18 | -0.01 | 0.9x | 240 | 51% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
-1.4% | -55.0% | 0.11 | -0.02 | 0.9x | 26 | 22% |
| SMA 크로스오버 fast=40, slow=202 |
-4.3% | -68.1% | 0.07 | -0.06 | 0.7x | 21 | 50% |
| ADX / DI 방향성 period=38, threshold=29 |
-0.1% | -28.8% | 0.05 | -0.00 | 1.0x | 8 | 11% |
| EMA 크로스오버 fast=11, slow=62 |
-10.6% | -79.1% | -0.08 | -0.13 | 0.4x | 51 | 53% |
| Buy and hold | -0.0% | -84.8% | 0.29 | -0.00 | 1.0x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 29 days