Trend-Following Backtester · Guide · backtest 한국어
equity · US
Baker Hughes Company backtest
10 trend-following strategies were compared on the full daily history of Baker Hughes Company. 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 5.3%, MDD -63.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.2%, drawdown -90.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -63.7%, Sharpe 0.32, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 5.3%, MDD -63.7%, exposure 63%).
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=46, exitN=69 |
5.3% | -63.7% | 0.32 | 0.08 | 7.6x | 78 | 63% |
| SMA 크로스오버 fast=12, slow=197 |
2.9% | -59.4% | 0.24 | 0.05 | 3.1x | 101 | 56% |
| Supertrend period=19, mult=4.7 |
1.9% | -71.2% | 0.20 | 0.03 | 2.1x | 127 | 52% |
| EMA 크로스오버 fast=44, slow=107 |
1.7% | -53.7% | 0.20 | 0.03 | 1.9x | 81 | 57% |
| 볼린저 밴드 돌파 n=41, k=1.7 |
1.6% | -59.6% | 0.18 | 0.03 | 1.9x | 227 | 37% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=14, mult=1.9 |
0.4% | -56.1% | 0.12 | 0.01 | 1.2x | 217 | 37% |
| ADX / DI 방향성 period=31, threshold=35 |
0.2% | -8.9% | 0.11 | 0.02 | 1.1x | 4 | 0% |
| ROC 모멘텀 n=136, threshold=0.05 |
-1.3% | -74.4% | 0.07 | -0.02 | 0.6x | 370 | 50% |
| MACD fast=18, slow=59, signal=19 |
-3.2% | -95.4% | 0.03 | -0.03 | 0.3x | 411 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.8% | -97.1% | -0.04 | -0.05 | 0.1x | 343 | 52% |
| Buy and hold | 3.2% | -90.5% | 0.28 | 0.03 | 3.4x | 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 46 days
- Sell — Sell when price breaks below the lowest low of the last 69 days