Trend-Following Backtester · Guide · backtest 한국어
equity · US
Plexus Corp. backtest
10 trend-following strategies were compared on the full daily history of Plexus Corp.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.4%, MDD -46.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.2%, drawdown -90.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.5%, MDD -54.8%, Sharpe 0.57, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 12.4%, MDD -46.2%, exposure 35%).
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=86, exitN=37 |
14.5% | -54.8% | 0.57 | 0.27 | 243.6x | 89 | 45% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=26, mult=3.4 |
12.4% | -46.2% | 0.55 | 0.27 | 113.5x | 82 | 35% |
| Supertrend period=13, mult=4.8 |
13.2% | -79.3% | 0.52 | 0.17 | 150.0x | 108 | 56% |
| SMA 크로스오버 fast=10, slow=62 |
12.4% | -91.7% | 0.49 | 0.14 | 113.1x | 210 | 58% |
| EMA 크로스오버 fast=47, slow=66 |
10.0% | -72.5% | 0.44 | 0.14 | 47.7x | 99 | 57% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
7.1% | -39.1% | 0.43 | 0.18 | 16.1x | 40 | 15% |
| ADX / DI 방향성 period=39, threshold=29 |
5.4% | -28.8% | 0.42 | 0.19 | 8.5x | 28 | 8% |
| ROC 모멘텀 n=122, threshold=0.23 |
5.2% | -76.5% | 0.32 | 0.07 | 7.8x | 344 | 30% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.6% | -89.2% | 0.29 | 0.04 | 4.2x | 326 | 54% |
| MACD fast=22, slow=41, signal=28 |
2.4% | -82.9% | 0.26 | 0.03 | 2.6x | 382 | 52% |
| Buy and hold | 13.2% | -90.2% | 0.51 | 0.15 | 150.1x | 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 86 days
- Sell — Sell when price breaks below the lowest low of the last 37 days