Trend-Following Backtester · Guide · backtest 한국어
equity · US
Balchem Corporation backtest
10 trend-following strategies were compared on the full daily history of Balchem Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -85.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -78.2%, Sharpe 0.46, 77% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=26, exitN=65 |
11.1% | -78.2% | 0.46 | 0.14 | 69.2x | 103 | 77% |
| SMA 크로스오버 fast=38, slow=219 |
10.0% | -51.8% | 0.44 | 0.19 | 46.4x | 69 | 68% |
| EMA 크로스오버 fast=57, slow=191 |
10.0% | -63.0% | 0.44 | 0.16 | 46.6x | 59 | 72% |
| ROC 모멘텀 n=195, threshold=0.05 |
5.0% | -66.2% | 0.31 | 0.08 | 7.1x | 347 | 61% |
| Supertrend period=20, mult=5 |
4.2% | -77.6% | 0.29 | 0.05 | 5.3x | 162 | 59% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.9% | -63.9% | 0.22 | 0.03 | 2.1x | 326 | 58% |
| MACD fast=29, slow=62, signal=31 |
-1.1% | -76.3% | 0.13 | -0.01 | 0.6x | 305 | 51% |
| ADX / DI 방향성 period=35, threshold=14 |
-0.7% | -74.0% | 0.09 | -0.01 | 0.8x | 216 | 31% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=3.1 |
-0.7% | -74.7% | 0.08 | -0.01 | 0.7x | 162 | 23% |
| 볼린저 밴드 돌파 n=53, k=2.3 |
-1.6% | -80.7% | 0.07 | -0.02 | 0.5x | 170 | 32% |
| Buy and hold | 17.6% | -85.5% | 0.57 | 0.21 | 666.3x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 65 days