Trend-Following Backtester · Guide · backtest 한국어
equity · US
Honeywell International Inc. backtest
10 trend-following strategies were compared on the full daily history of Honeywell International Inc.. 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 7.5%, drawdown -71.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -61.4%, Sharpe 0.40, 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=19, exitN=70 |
7.1% | -61.4% | 0.40 | 0.11 | 47.3x | 136 | 82% |
| ROC 모멘텀 Hold-like · Exposure 97% n=19, threshold=-0.15 |
6.8% | -69.7% | 0.38 | 0.10 | 41.9x | 129 | 97% |
| SMA 크로스오버 fast=57, slow=72 |
3.6% | -63.5% | 0.27 | 0.06 | 7.5x | 245 | 60% |
| EMA 크로스오버 fast=24, slow=214 |
3.4% | -66.1% | 0.27 | 0.05 | 6.6x | 113 | 67% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=22, mult=3.5 |
0.8% | -13.9% | 0.22 | 0.06 | 1.6x | 26 | 2% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
0.7% | -17.2% | 0.18 | 0.04 | 1.5x | 20 | 2% |
| Supertrend period=9, mult=3.8 |
0.5% | -51.8% | 0.12 | 0.01 | 1.3x | 304 | 57% |
| MACD fast=18, slow=44, signal=18 |
-2.0% | -83.4% | -0.01 | -0.02 | 0.3x | 649 | 50% |
| ADX / DI 방향성 period=18, threshold=27 |
-0.8% | -49.5% | -0.06 | -0.02 | 0.6x | 174 | 11% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.5% | -88.4% | -0.09 | -0.04 | 0.1x | 507 | 55% |
| Buy and hold | 7.5% | -71.8% | 0.39 | 0.11 | 61.3x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 70 days