Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sinclair, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sinclair, Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.5%, MDD -25.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.4%, drawdown -97.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -49.2%, Sharpe 0.42, 21% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 47.9%p (CAGR 3.5%, MDD -25.0%, exposure 5%).
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=105, exitN=19 |
7.4% | -49.2% | 0.42 | 0.15 | 9.3x | 64 | 21% |
| ADX / DI 방향성 period=36, threshold=30 |
3.5% | -25.0% | 0.34 | 0.14 | 3.0x | 14 | 5% |
| SMA 크로스오버 fast=48, slow=159 |
4.7% | -82.1% | 0.30 | 0.06 | 4.2x | 56 | 47% |
| MACD fast=19, slow=46, signal=19 |
3.6% | -86.3% | 0.28 | 0.04 | 3.0x | 312 | 51% |
| 볼린저 밴드 돌파 n=48, k=2.4 |
2.7% | -73.5% | 0.23 | 0.04 | 2.3x | 112 | 28% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=2.3 |
2.6% | -88.3% | 0.23 | 0.03 | 2.2x | 128 | 30% |
| Supertrend period=17, mult=3.4 |
1.7% | -92.8% | 0.23 | 0.02 | 1.7x | 161 | 48% |
| ROC 모멘텀 n=58, threshold=0.11 |
-0.1% | -82.0% | 0.15 | -0.00 | 1.0x | 356 | 32% |
| EMA 크로스오버 fast=58, slow=92 |
-1.1% | -91.3% | 0.13 | -0.01 | 0.7x | 74 | 45% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-4.8% | -92.2% | 0.05 | -0.05 | 0.2x | 745 | 51% |
| Buy and hold | 0.4% | -97.1% | 0.28 | 0.00 | 1.1x | 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 105 days
- Sell — Sell when price breaks below the lowest low of the last 19 days