Trend-Following Backtester · Guide · backtest 한국어
equity · US
CSX Corporation backtest
10 trend-following strategies were compared on the full daily history of CSX 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 11.2%, drawdown -69.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -64.8%, Sharpe 0.49, 92% 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=8, exitN=113 |
10.2% | -64.8% | 0.49 | 0.16 | 84.8x | 95 | 92% |
| SMA 크로스오버 fast=56, slow=104 |
6.6% | -56.6% | 0.40 | 0.12 | 18.6x | 113 | 63% |
| EMA 크로스오버 fast=53, slow=201 |
6.0% | -48.1% | 0.37 | 0.12 | 14.4x | 61 | 68% |
| ROC 모멘텀 n=146, threshold=-0.04 |
3.9% | -64.6% | 0.28 | 0.06 | 5.7x | 353 | 73% |
| Supertrend period=23, mult=4.1 |
3.6% | -59.2% | 0.27 | 0.06 | 5.1x | 207 | 62% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
1.6% | -43.6% | 0.20 | 0.04 | 2.1x | 93 | 20% |
| ADX / DI 방향성 period=27, threshold=34 |
0.7% | -12.5% | 0.16 | 0.05 | 1.3x | 10 | 2% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.3% | -78.5% | 0.16 | 0.02 | 1.8x | 401 | 57% |
| MACD fast=17, slow=36, signal=24 |
0.6% | -72.9% | 0.13 | 0.01 | 1.3x | 493 | 52% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=4 |
0.1% | -4.7% | 0.10 | 0.02 | 1.1x | 2 | 0% |
| Buy and hold | 11.2% | -69.7% | 0.50 | 0.16 | 128.2x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 113 days