Trend-Following Backtester · Guide · backtest 한국어
equity · US
PACCAR Inc. backtest
10 trend-following strategies were compared on the full daily history of PACCAR 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 11.4%, drawdown -67.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -70.2%, Sharpe 0.36, 79% 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=58 |
6.3% | -70.2% | 0.36 | 0.09 | 16.8x | 139 | 79% |
| SMA 크로스오버 fast=49, slow=258 |
5.4% | -50.7% | 0.34 | 0.11 | 11.5x | 61 | 64% |
| EMA 크로스오버 fast=59, slow=87 |
5.2% | -49.9% | 0.34 | 0.10 | 10.5x | 101 | 64% |
| Supertrend period=10, mult=5 |
4.1% | -60.6% | 0.29 | 0.07 | 6.5x | 167 | 59% |
| 볼린저 밴드 돌파 n=21, k=2.7 |
1.7% | -49.7% | 0.21 | 0.03 | 2.2x | 170 | 15% |
| MACD fast=17, slow=43, signal=13 |
1.4% | -75.9% | 0.17 | 0.02 | 1.9x | 588 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.8% | -83.1% | 0.14 | 0.01 | 1.4x | 388 | 52% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=1.4 |
0.8% | -83.3% | 0.13 | 0.01 | 1.5x | 436 | 38% |
| ROC 모멘텀 n=77, threshold=-0.04 |
0.2% | -76.1% | 0.13 | 0.00 | 1.1x | 497 | 70% |
| ADX / DI 방향성 period=28, threshold=25 |
0.3% | -47.5% | 0.07 | 0.01 | 1.1x | 92 | 12% |
| Buy and hold | 11.4% | -67.9% | 0.50 | 0.17 | 148.0x | 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 58 days