Trend-Following Backtester · Guide · backtest 한국어
equity · US
Steel Dynamics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Steel Dynamics, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 14.4%, drawdown -87.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.1%, MDD -74.2%, Sharpe 0.55, 88% 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=11, exitN=79 |
15.1% | -74.2% | 0.55 | 0.20 | 65.7x | 67 | 88% |
| SMA 크로스오버 fast=43, slow=112 |
11.4% | -71.7% | 0.50 | 0.16 | 24.7x | 75 | 61% |
| ROC 모멘텀 n=120, threshold=-0.04 |
9.6% | -69.1% | 0.44 | 0.14 | 15.2x | 205 | 67% |
| EMA 크로스오버 fast=19, slow=102 |
9.0% | -66.7% | 0.43 | 0.13 | 12.9x | 107 | 62% |
| Supertrend period=16, mult=2.6 |
8.2% | -73.2% | 0.41 | 0.11 | 10.4x | 247 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
6.9% | -65.7% | 0.37 | 0.10 | 7.2x | 257 | 56% |
| MACD fast=17, slow=30, signal=17 |
6.2% | -70.5% | 0.35 | 0.09 | 5.9x | 365 | 51% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
2.6% | -67.7% | 0.23 | 0.04 | 2.2x | 192 | 44% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=2.4 |
0.9% | -61.3% | 0.16 | 0.01 | 1.3x | 143 | 37% |
| ADX / DI 방향성 period=16, threshold=17 |
-0.6% | -76.9% | 0.10 | -0.01 | 0.8x | 381 | 37% |
| Buy and hold | 14.4% | -87.1% | 0.52 | 0.16 | 53.7x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 79 days