Trend-Following Backtester · Guide · backtest 한국어
equity · US
Photronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Photronics, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.7%, drawdown -99.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -80.3%, Sharpe 0.38, 74% 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=18, exitN=62 |
6.9% | -80.3% | 0.38 | 0.09 | 13.9x | 131 | 74% |
| SMA 크로스오버 fast=57, slow=163 |
5.2% | -88.8% | 0.33 | 0.06 | 7.4x | 78 | 55% |
| ADX / DI 방향성 period=33, threshold=9 |
5.3% | -82.8% | 0.33 | 0.06 | 7.6x | 463 | 46% |
| MACD fast=13, slow=41, signal=31 |
3.3% | -94.1% | 0.29 | 0.03 | 3.6x | 439 | 50% |
| EMA 크로스오버 fast=31, slow=104 |
3.0% | -87.5% | 0.28 | 0.03 | 3.2x | 104 | 52% |
| 볼린저 밴드 돌파 n=40, k=1.8 |
3.8% | -79.8% | 0.27 | 0.05 | 4.3x | 232 | 33% |
| Supertrend period=25, mult=4.9 |
2.7% | -86.4% | 0.27 | 0.03 | 2.8x | 126 | 50% |
| ROC 모멘텀 n=10, threshold=-0.14 |
-2.0% | -99.3% | 0.25 | -0.02 | 0.4x | 372 | 93% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-0.7% | -93.8% | 0.20 | -0.01 | 0.8x | 650 | 50% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=25, mult=1.1 |
-1.0% | -92.3% | 0.16 | -0.01 | 0.7x | 320 | 44% |
| Buy and hold | 5.7% | -99.2% | 0.40 | 0.06 | 9.1x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 62 days