Trend-Following Backtester · Guide · backtest 한국어
equity · US
Saia, Inc. backtest
10 trend-following strategies were compared on the full daily history of Saia, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.9%, MDD -55.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.2%, drawdown -80.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.2%, MDD -70.5%, Sharpe 0.60, 71% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 9.9%p (CAGR 13.9%, MDD -55.3%, exposure 59%).
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=22, exitN=42 |
16.2% | -70.5% | 0.60 | 0.23 | 36.1x | 74 | 71% |
| ROC 모멘텀 n=167, threshold=0.05 |
14.4% | -65.3% | 0.58 | 0.22 | 24.6x | 141 | 57% |
| Supertrend period=22, mult=3.3 |
13.9% | -55.3% | 0.56 | 0.25 | 22.5x | 128 | 59% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
2.7% | -8.7% | 0.50 | 0.32 | 1.9x | 10 | 3% |
| EMA 크로스오버 fast=28, slow=190 |
10.8% | -78.7% | 0.48 | 0.14 | 11.6x | 39 | 62% |
| SMA 크로스오버 fast=8, slow=186 |
10.4% | -78.6% | 0.47 | 0.13 | 10.6x | 61 | 62% |
| ADX / DI 방향성 period=37, threshold=28 |
2.4% | -13.7% | 0.37 | 0.17 | 1.8x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=14, mult=1.8 |
4.2% | -70.3% | 0.29 | 0.06 | 2.7x | 164 | 43% |
| MACD fast=18, slow=29, signal=16 |
1.8% | -69.8% | 0.23 | 0.03 | 1.5x | 322 | 52% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.0% | -73.3% | 0.20 | 0.01 | 1.3x | 218 | 57% |
| Buy and hold | 16.2% | -80.4% | 0.55 | 0.20 | 35.8x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 42 days