Trend-Following Backtester · Guide · backtest 한국어
equity · US
Archer-Daniels-Midland Company backtest
10 trend-following strategies were compared on the full daily history of Archer-Daniels-Midland Company. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -68.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -56.4%, Sharpe 0.40, 72% 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=18, exitN=41 |
7.2% | -56.4% | 0.40 | 0.13 | 24.6x | 165 | 72% |
| SMA 크로스오버 fast=8, slow=263 |
6.2% | -50.8% | 0.39 | 0.12 | 16.4x | 93 | 59% |
| EMA 크로스오버 fast=12, slow=219 |
5.2% | -45.0% | 0.34 | 0.12 | 10.5x | 99 | 60% |
| MACD fast=45, slow=54, signal=28 |
4.5% | -49.1% | 0.31 | 0.09 | 7.5x | 277 | 52% |
| Supertrend period=24, mult=4.5 |
4.1% | -65.8% | 0.29 | 0.06 | 6.5x | 157 | 56% |
| ADX / DI 방향성 period=39, threshold=28 |
1.3% | -12.0% | 0.29 | 0.11 | 1.8x | 10 | 3% |
| 볼린저 밴드 돌파 n=75, k=1.6 |
1.3% | -56.3% | 0.16 | 0.02 | 1.8x | 187 | 41% |
| ROC 모멘텀 n=92, threshold=0 |
-1.0% | -79.5% | 0.06 | -0.01 | 0.6x | 469 | 57% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.7% | -83.7% | -0.01 | -0.03 | 0.3x | 403 | 54% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=4 |
-1.1% | -55.6% | -0.03 | -0.02 | 0.6x | 107 | 18% |
| Buy and hold | 8.4% | -68.3% | 0.42 | 0.12 | 42.7x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 41 days