Trend-Following Backtester · Guide · backtest 한국어

equity · US

Woodward, Inc. backtest

10 trend-following strategies were compared on the full daily history of Woodward, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.6%, MDD -51.5%).

Data 1994-04-04 ~ 2026-07-31daily bars 8,136 (32.3 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 15.3%, drawdown -83.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -51.5%, Sharpe 0.52, 74% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 31.8%p (CAGR 11.6%, MDD -51.5%, exposure 74%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=43, exitN=74
11.6%-51.5%0.520.2334.8x5574%
MACD
fast=24, slow=47, signal=41
10.0%-41.2%0.510.2421.7x21251%
SMA 크로스오버
fast=9, slow=112
10.1%-51.5%0.490.2022.3x11363%
EMA 크로스오버
fast=41, slow=183
10.2%-60.6%0.480.1723.0x4570%
ROC 모멘텀
n=136, threshold=-0.07
9.4%-65.6%0.450.1418.3x21378%
볼린저 밴드 돌파
n=36, k=3.5
3.8%-30.7%0.400.133.4x349%
Supertrend
period=9, mult=3.5
6.8%-49.2%0.380.148.4x17058%
Keltner 채널 돌파
emaPeriod=91, atrPeriod=21, mult=2.2
4.9%-60.1%0.320.084.7x14051%
ADX / DI 방향성
period=32, threshold=26
2.2%-40.6%0.260.062.0x329%
Parabolic SAR
step=0.01, maxStep=0.36
-1.6%-83.9%0.07-0.020.6x44254%
Buy and hold15.3%-83.3%0.560.18100.2x1100%
1x 10x 100x 1995 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -62% -83% 1995 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -51.5% (2021-05-07 → 2023-05-31), recovered after 1,663 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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