Trend-Following Backtester · Guide · backtest 한국어
equity · US
National Beverage Corp. backtest
10 trend-following strategies were compared on the full daily history of National Beverage Corp.. 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 10.1%, drawdown -70.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -71.3%, Sharpe 0.38, 82% 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=20, exitN=79 |
7.4% | -71.3% | 0.38 | 0.10 | 12.1x | 86 | 82% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=18, mult=3.7 |
5.1% | -48.7% | 0.35 | 0.11 | 5.7x | 78 | 14% |
| SMA 크로스오버 fast=52, slow=106 |
6.4% | -82.7% | 0.35 | 0.08 | 8.6x | 94 | 54% |
| EMA 크로스오버 fast=50, slow=203 |
4.2% | -82.7% | 0.29 | 0.05 | 4.2x | 66 | 60% |
| 볼린저 밴드 돌파 n=35, k=2.6 |
3.2% | -66.4% | 0.25 | 0.05 | 3.0x | 138 | 22% |
| Supertrend period=29, mult=5 |
1.2% | -73.2% | 0.19 | 0.02 | 1.5x | 122 | 48% |
| ADX / DI 방향성 period=28, threshold=17 |
1.6% | -68.9% | 0.19 | 0.02 | 1.8x | 170 | 25% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.1% | -82.1% | 0.16 | 0.00 | 1.0x | 270 | 51% |
| MACD fast=19, slow=55, signal=15 |
-5.6% | -96.0% | -0.00 | -0.06 | 0.1x | 420 | 53% |
| ROC 모멘텀 n=106, threshold=0.01 |
-6.8% | -93.1% | -0.04 | -0.07 | 0.1x | 456 | 53% |
| Buy and hold | 10.1% | -70.6% | 0.44 | 0.14 | 28.8x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 79 days