Trend-Following Backtester · Guide · backtest 한국어
equity · US
ATI Inc. backtest
10 trend-following strategies were compared on the full daily history of ATI Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.9%, MDD -49.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.1%, drawdown -95.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.8%, MDD -71.7%, Sharpe 0.69, 74% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 11.9%, MDD -49.6%, exposure 28%).
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=35, exitN=98 |
21.8% | -71.7% | 0.69 | 0.30 | 197.7x | 37 | 74% |
| SMA 크로스오버 fast=26, slow=170 |
16.0% | -58.4% | 0.60 | 0.27 | 53.2x | 51 | 57% |
| EMA 크로스오버 fast=57, slow=140 |
15.0% | -56.2% | 0.58 | 0.27 | 42.5x | 33 | 57% |
| 볼린저 밴드 돌파 n=35, k=2.2 |
11.9% | -49.6% | 0.58 | 0.24 | 20.3x | 121 | 28% |
| ROC 모멘텀 n=161, threshold=-0.02 |
14.2% | -69.4% | 0.55 | 0.20 | 34.9x | 171 | 59% |
| Supertrend period=10, mult=3.6 |
9.5% | -83.9% | 0.43 | 0.11 | 11.4x | 149 | 51% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=22, mult=2.4 |
7.5% | -61.0% | 0.41 | 0.12 | 6.9x | 115 | 32% |
| MACD fast=13, slow=20, signal=13 |
7.0% | -90.5% | 0.37 | 0.08 | 6.1x | 432 | 51% |
| ADX / DI 방향성 period=21, threshold=15 |
5.1% | -76.0% | 0.32 | 0.07 | 3.7x | 297 | 34% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.8% | -90.4% | 0.28 | 0.04 | 2.7x | 474 | 53% |
| Buy and hold | 8.1% | -95.6% | 0.41 | 0.08 | 8.0x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 98 days