Trend-Following Backtester · Guide · backtest 한국어
equity · US
Franklin Financial Services Corporation backtest
10 trend-following strategies were compared on the full daily history of Franklin Financial Services Corporation. 2 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 7.0%, MDD -37.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.0%, drawdown -60.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -37.7%, Sharpe 0.40, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 7.0%, MDD -37.7%, exposure 71%).
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=37, exitN=63 |
7.0% | -37.7% | 0.40 | 0.19 | 8.9x | 63 | 71% |
| SMA 크로스오버 fast=42, slow=147 |
5.8% | -49.5% | 0.36 | 0.12 | 6.2x | 39 | 62% |
| EMA 크로스오버 fast=50, slow=106 |
4.9% | -62.2% | 0.33 | 0.08 | 4.7x | 51 | 61% |
| 볼린저 밴드 돌파 n=75, k=2.6 |
3.4% | -49.2% | 0.27 | 0.07 | 2.9x | 67 | 35% |
| ADX / DI 방향성 period=32, threshold=17 |
1.6% | -41.8% | 0.18 | 0.04 | 1.7x | 134 | 32% |
| Supertrend period=27, mult=4.7 |
0.5% | -55.7% | 0.13 | 0.01 | 1.2x | 129 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=3.6 |
0.4% | -51.3% | 0.11 | 0.01 | 1.1x | 99 | 33% |
| ROC 모멘텀 n=112, threshold=-0.02 |
-0.9% | -84.6% | 0.07 | -0.01 | 0.8x | 295 | 65% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.1% | -69.2% | -0.05 | -0.04 | 0.4x | 203 | 52% |
| MACD fast=19, slow=56, signal=17 |
-9.7% | -97.5% | -0.36 | -0.10 | 0.0x | 406 | 49% |
| Buy and hold | 5.0% | -60.6% | 0.31 | 0.08 | 4.9x | 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 37 days
- Sell — Sell when price breaks below the lowest low of the last 63 days