Trend-Following Backtester · Guide · backtest 한국어
equity · US
Columbus McKinnon Corporation backtest
10 trend-following strategies were compared on the full daily history of Columbus McKinnon Corporation. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -24.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.7%, drawdown -95.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.6%, MDD -41.9%, Sharpe 0.44, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.6%, MDD -63.0%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 3.4%, MDD -24.6%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=2.9 |
6.6% | -41.9% | 0.44 | 0.16 | 7.0x | 67 | 17% |
| Donchian 채널 돌파 entryN=10, exitN=9 |
7.6% | -63.0% | 0.38 | 0.12 | 9.3x | 307 | 50% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=1.6 |
6.0% | -62.0% | 0.36 | 0.10 | 6.0x | 191 | 37% |
| Parabolic SAR step=0.01, maxStep=0.18 |
6.2% | -78.7% | 0.34 | 0.08 | 6.3x | 389 | 51% |
| Supertrend period=22, mult=2.9 |
6.0% | -60.4% | 0.34 | 0.10 | 5.8x | 193 | 52% |
| SMA 크로스오버 fast=21, slow=28 |
5.7% | -81.2% | 0.33 | 0.07 | 5.4x | 345 | 51% |
| ADX / DI 방향성 period=27, threshold=30 |
3.4% | -24.6% | 0.32 | 0.14 | 2.8x | 30 | 7% |
| MACD fast=13, slow=52, signal=20 |
4.2% | -87.2% | 0.29 | 0.05 | 3.5x | 325 | 51% |
| EMA 크로스오버 fast=16, slow=51 |
3.7% | -83.5% | 0.27 | 0.04 | 3.0x | 161 | 52% |
| ROC 모멘텀 n=109, threshold=-0.03 |
-0.1% | -85.8% | 0.17 | -0.00 | 1.0x | 267 | 60% |
| Buy and hold | 0.7% | -95.5% | 0.27 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 34-day middle average