Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clearfield, Inc. backtest
10 trend-following strategies were compared on the full daily history of Clearfield, 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 8.0%, MDD -64.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.5%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -66.2%, Sharpe 0.51, 25% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 8.0%, MDD -64.9%, exposure 27%).
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=119, exitN=26 |
13.5% | -66.2% | 0.51 | 0.20 | 156.9x | 64 | 25% |
| SMA 크로스오버 fast=19, slow=44 |
11.9% | -97.2% | 0.47 | 0.12 | 90.8x | 228 | 48% |
| Supertrend period=26, mult=4.3 |
9.1% | -94.8% | 0.41 | 0.10 | 32.8x | 132 | 44% |
| EMA 크로스오버 fast=44, slow=61 |
8.6% | -91.8% | 0.40 | 0.09 | 27.0x | 100 | 48% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=18, mult=2.9 |
8.0% | -64.9% | 0.38 | 0.12 | 22.0x | 96 | 27% |
| 볼린저 밴드 돌파 n=50, k=2.8 |
6.4% | -85.4% | 0.34 | 0.07 | 11.7x | 120 | 26% |
| ADX / DI 방향성 period=21, threshold=28 |
6.3% | -69.1% | 0.34 | 0.09 | 11.3x | 122 | 21% |
| Parabolic SAR step=0.01, maxStep=0.38 |
4.3% | -98.1% | 0.33 | 0.04 | 5.5x | 402 | 48% |
| MACD fast=13, slow=46, signal=19 |
-4.5% | -98.7% | 0.17 | -0.05 | 0.2x | 488 | 50% |
| ROC 모멘텀 n=147, threshold=0.03 |
-4.0% | -98.5% | 0.16 | -0.04 | 0.2x | 356 | 48% |
| Buy and hold | 7.5% | -98.6% | 0.45 | 0.08 | 17.8x | 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 119 days
- Sell — Sell when price breaks below the lowest low of the last 26 days