Trend-Following Backtester · Guide · backtest 한국어
equity · US
Construction Partners, Inc. backtest
10 trend-following strategies were compared on the full daily history of Construction Partners, 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 29.6%, drawdown -54.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.9%, MDD -49.0%, Sharpe 0.74, 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=55, exitN=77 |
23.9% | -49.0% | 0.74 | 0.49 | 5.8x | 10 | 74% |
| SMA 크로스오버 fast=38, slow=71 |
22.4% | -51.8% | 0.74 | 0.43 | 5.3x | 26 | 66% |
| EMA 크로스오버 fast=17, slow=106 |
14.8% | -53.4% | 0.55 | 0.28 | 3.1x | 26 | 70% |
| Supertrend period=13, mult=5 |
11.9% | -50.0% | 0.50 | 0.24 | 2.5x | 22 | 57% |
| ROC 모멘텀 n=86, threshold=0.01 |
11.1% | -48.9% | 0.47 | 0.23 | 2.4x | 72 | 66% |
| ADX / DI 방향성 period=34, threshold=20 |
4.8% | -25.3% | 0.39 | 0.19 | 1.5x | 16 | 11% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=32, mult=3.6 |
2.7% | -25.6% | 0.25 | 0.11 | 1.2x | 14 | 12% |
| Parabolic SAR step=0.01, maxStep=0.36 |
1.5% | -52.0% | 0.22 | 0.03 | 1.1x | 118 | 54% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
-0.6% | -35.0% | 0.06 | -0.02 | 1.0x | 18 | 18% |
| MACD fast=20, slow=27, signal=21 |
-6.2% | -78.8% | -0.00 | -0.08 | 0.6x | 107 | 51% |
| Buy and hold | 29.6% | -54.5% | 0.78 | 0.54 | 8.5x | 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 55 days
- Sell — Sell when price breaks below the lowest low of the last 77 days