Trend-Following Backtester · Guide · backtest 한국어
equity · US
AAR Corp. backtest
10 trend-following strategies were compared on the full daily history of AAR Corp.. 1 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 10.4%, MDD -71.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -89.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -71.9%, Sharpe 0.45, 83% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 10.4%, MDD -71.9%, exposure 83%).
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=10, exitN=52 |
10.4% | -71.9% | 0.45 | 0.15 | 100.6x | 175 | 83% |
| EMA 크로스오버 fast=14, slow=97 |
5.7% | -76.6% | 0.34 | 0.07 | 13.0x | 167 | 61% |
| Supertrend period=12, mult=2.6 |
4.1% | -68.5% | 0.28 | 0.06 | 6.4x | 444 | 53% |
| ROC 모멘텀 n=135, threshold=0.1 |
4.0% | -67.5% | 0.28 | 0.06 | 6.2x | 393 | 47% |
| Parabolic SAR step=0.015, maxStep=0.06 |
4.0% | -61.6% | 0.28 | 0.06 | 6.1x | 588 | 52% |
| SMA 크로스오버 fast=6, slow=152 |
3.8% | -83.4% | 0.27 | 0.05 | 5.8x | 191 | 60% |
| MACD fast=24, slow=72, signal=13 |
2.5% | -73.3% | 0.23 | 0.03 | 3.1x | 490 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=2.1 |
2.1% | -66.4% | 0.21 | 0.03 | 2.7x | 258 | 42% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
0.6% | -63.2% | 0.13 | 0.01 | 1.3x | 162 | 30% |
| ADX / DI 방향성 period=22, threshold=38 |
0.2% | -24.4% | 0.06 | 0.01 | 1.1x | 34 | 3% |
| Buy and hold | 7.8% | -89.9% | 0.39 | 0.09 | 33.1x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 52 days