Trend-Following Backtester · Guide · backtest 한국어
equity · US
Powell Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Powell Industries, 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 12.2%, drawdown -93.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -94.6%, Sharpe 0.40, 75% 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=23, exitN=70 |
8.3% | -94.6% | 0.40 | 0.09 | 40.4x | 126 | 75% |
| EMA 크로스오버 fast=76, slow=92 |
7.5% | -86.2% | 0.38 | 0.09 | 28.6x | 87 | 54% |
| SMA 크로스오버 fast=48, slow=192 |
7.5% | -84.2% | 0.38 | 0.09 | 28.1x | 75 | 53% |
| Supertrend period=9, mult=3.8 |
4.8% | -93.6% | 0.31 | 0.05 | 8.7x | 206 | 51% |
| MACD fast=41, slow=54, signal=40 |
4.6% | -89.6% | 0.31 | 0.05 | 8.2x | 278 | 51% |
| ADX / DI 방향성 period=36, threshold=25 |
3.2% | -63.8% | 0.25 | 0.05 | 4.3x | 48 | 14% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-0.3% | -97.6% | 0.20 | -0.00 | 0.9x | 720 | 48% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=8, mult=3.5 |
1.8% | -78.4% | 0.19 | 0.02 | 2.3x | 100 | 17% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
1.6% | -63.7% | 0.18 | 0.02 | 2.1x | 76 | 8% |
| ROC 모멘텀 n=68, threshold=-0.02 |
-3.2% | -99.7% | 0.14 | -0.03 | 0.2x | 670 | 60% |
| Buy and hold | 12.2% | -93.7% | 0.49 | 0.13 | 207.6x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 70 days