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 -3.3%, drawdown -97.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.0%, MDD -73.5%, Sharpe 0.67, 62% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.3%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 |
23.0% | -73.5% | 0.67 | 0.31 | 67.5x | 61 | 62% |
| ROC 모멘텀 n=116, threshold=0.09 |
16.3% | -59.2% | 0.59 | 0.28 | 21.8x | 119 | 36% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=12, mult=1.6 |
15.9% | -54.1% | 0.57 | 0.29 | 20.4x | 79 | 37% |
| ADX / DI 방향성 period=34, threshold=15 |
15.0% | -46.4% | 0.57 | 0.32 | 17.4x | 106 | 25% |
| SMA 크로스오버 fast=30, slow=97 |
15.1% | -71.4% | 0.54 | 0.21 | 17.6x | 59 | 46% |
| 볼린저 밴드 돌파 n=33, k=2.3 |
12.1% | -51.1% | 0.50 | 0.24 | 10.3x | 87 | 25% |
| EMA 크로스오버 fast=31, slow=81 |
12.5% | -74.1% | 0.49 | 0.17 | 11.1x | 49 | 44% |
| Supertrend period=11, mult=4.9 |
10.0% | -80.0% | 0.43 | 0.13 | 7.0x | 55 | 54% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-0.8% | -90.9% | 0.19 | -0.01 | 0.9x | 280 | 49% |
| MACD fast=11, slow=46, signal=12 |
-2.2% | -90.7% | 0.16 | -0.02 | 0.6x | 328 | 50% |
| Buy and hold | -3.3% | -97.6% | 0.27 | -0.03 | 0.5x | 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