Trend-Following Backtester · Guide · backtest 한국어
equity · US
Air Products and Chemicals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Air Products and Chemicals, Inc.. 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 9.8%, drawdown -60.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -60.0%, Sharpe 0.35, 86% 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=12, exitN=66 |
5.7% | -60.0% | 0.35 | 0.09 | 12.9x | 145 | 86% |
| SMA 크로스오버 fast=38, slow=217 |
2.2% | -50.5% | 0.21 | 0.04 | 2.7x | 73 | 65% |
| ADX / DI 방향성 period=33, threshold=30 |
0.7% | -13.9% | 0.21 | 0.05 | 1.4x | 10 | 2% |
| Supertrend period=35, mult=5 |
1.8% | -47.7% | 0.19 | 0.04 | 2.3x | 175 | 62% |
| EMA 크로스오버 fast=31, slow=217 |
1.0% | -58.7% | 0.15 | 0.02 | 1.6x | 87 | 70% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
0.2% | -66.7% | 0.09 | 0.00 | 1.1x | 263 | 41% |
| ROC 모멘텀 n=73, threshold=-0.04 |
-0.3% | -81.6% | 0.09 | -0.00 | 0.9x | 515 | 73% |
| MACD fast=19, slow=55, signal=19 |
-1.6% | -82.3% | 0.01 | -0.02 | 0.5x | 489 | 50% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=27, mult=3.3 |
-0.5% | -40.2% | -0.06 | -0.01 | 0.8x | 74 | 5% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.4% | -90.3% | -0.09 | -0.04 | 0.2x | 429 | 55% |
| Buy and hold | 9.8% | -60.7% | 0.47 | 0.16 | 77.2x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 66 days