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 14.0%, drawdown -87.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.8%, MDD -74.2%, Sharpe 0.54, 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 |
14.8% | -74.2% | 0.54 | 0.20 | 60.8x | 67 | 88% |
| SMA 크로스오버 fast=43, slow=112 |
11.1% | -71.7% | 0.49 | 0.15 | 22.8x | 75 | 61% |
| ROC 모멘텀 n=120, threshold=-0.04 |
9.3% | -69.1% | 0.44 | 0.13 | 14.1x | 205 | 67% |
| EMA 크로스오버 fast=19, slow=102 |
8.7% | -66.7% | 0.42 | 0.13 | 11.9x | 107 | 62% |
| Supertrend period=16, mult=2.6 |
7.8% | -73.2% | 0.40 | 0.11 | 9.5x | 248 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
6.5% | -65.7% | 0.36 | 0.10 | 6.6x | 258 | 56% |
| MACD fast=17, slow=30, signal=17 |
5.8% | -70.5% | 0.34 | 0.08 | 5.4x | 366 | 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 |
0.6% | -61.3% | 0.14 | 0.01 | 1.2x | 144 | 37% |
| ADX / DI 방향성 period=16, threshold=17 |
-0.7% | -76.9% | 0.10 | -0.01 | 0.8x | 382 | 37% |
| Buy and hold | 14.0% | -87.1% | 0.51 | 0.16 | 49.7x | 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