Trend-Following Backtester · Guide · backtest 한국어
equity · US
People Incorporated backtest
10 trend-following strategies were compared on the full daily history of People Incorporated. 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 17.0%, drawdown -78.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.5%, MDD -68.0%, Sharpe 0.52, 66% 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=38, exitN=61 |
14.5% | -68.0% | 0.52 | 0.21 | 94.7x | 70 | 66% |
| EMA 크로스오버 fast=31, slow=62 |
13.0% | -73.2% | 0.49 | 0.18 | 61.3x | 100 | 58% |
| ADX / DI 방향성 period=22, threshold=36 |
6.8% | -31.1% | 0.46 | 0.22 | 9.2x | 30 | 6% |
| SMA 크로스오버 fast=27, slow=70 |
10.8% | -68.6% | 0.45 | 0.16 | 31.4x | 124 | 58% |
| Supertrend period=9, mult=4.2 |
8.7% | -70.4% | 0.39 | 0.12 | 16.5x | 126 | 56% |
| 볼린저 밴드 돌파 n=61, k=1.6 |
6.8% | -71.8% | 0.36 | 0.09 | 9.0x | 150 | 42% |
| ROC 모멘텀 n=55, threshold=-0.01 |
6.5% | -76.9% | 0.34 | 0.08 | 8.3x | 476 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=1.4 |
3.9% | -76.9% | 0.28 | 0.05 | 3.7x | 238 | 46% |
| Parabolic SAR step=0.005, maxStep=0.06 |
3.1% | -81.8% | 0.26 | 0.04 | 2.8x | 288 | 55% |
| MACD fast=16, slow=30, signal=17 |
-2.5% | -93.3% | 0.11 | -0.03 | 0.4x | 466 | 50% |
| Buy and hold | 17.0% | -78.1% | 0.55 | 0.22 | 195.4x | 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 38 days
- Sell — Sell when price breaks below the lowest low of the last 61 days