Trend-Following Backtester · Guide · backtest 한국어
equity · US
Green Plains, Inc. backtest
10 trend-following strategies were compared on the full daily history of Green Plains, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.0%, MDD -46.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.1%, drawdown -97.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.9%, MDD -73.5%, Sharpe 0.65, 62% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.0%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 15.0%, MDD -46.4%, exposure 25%).
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=21, exitN=46 |
21.9% | -73.5% | 0.65 | 0.30 | 57.9x | 61 | 62% |
| ROC 모멘텀 n=116, threshold=0.09 |
15.5% | -59.2% | 0.57 | 0.26 | 19.1x | 124 | 36% |
| ADX / DI 방향성 period=34, threshold=15 |
15.0% | -46.4% | 0.57 | 0.32 | 17.4x | 106 | 25% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=1.6 |
15.3% | -54.1% | 0.56 | 0.28 | 18.3x | 80 | 37% |
| SMA 크로스오버 fast=30, slow=97 |
14.2% | -71.4% | 0.53 | 0.20 | 15.2x | 60 | 46% |
| 볼린저 밴드 돌파 n=33, k=2.3 |
11.5% | -51.1% | 0.48 | 0.22 | 9.2x | 88 | 25% |
| EMA 크로스오버 fast=31, slow=81 |
11.7% | -74.1% | 0.47 | 0.16 | 9.6x | 50 | 44% |
| Supertrend period=11, mult=4.9 |
9.0% | -80.0% | 0.41 | 0.11 | 5.8x | 56 | 54% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-0.8% | -90.9% | 0.19 | -0.01 | 0.9x | 280 | 48% |
| MACD fast=11, slow=46, signal=12 |
-2.2% | -90.7% | 0.16 | -0.02 | 0.6x | 328 | 50% |
| Buy and hold | -4.1% | -97.6% | 0.25 | -0.04 | 0.4x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 46 days