Trend-Following Backtester · Guide · backtest 한국어
equity · US
Belden Inc backtest
10 trend-following strategies were compared on the full daily history of Belden 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 7.2%, MDD -56.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -56.3%, Sharpe 0.39, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 7.2%, MDD -56.3%, exposure 49%).
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=99, exitN=61 |
7.2% | -56.3% | 0.39 | 0.13 | 9.9x | 48 | 49% |
| EMA 크로스오버 fast=48, slow=81 |
7.0% | -63.0% | 0.37 | 0.11 | 9.1x | 69 | 59% |
| ADX / DI 방향성 period=30, threshold=30 |
3.7% | -26.0% | 0.37 | 0.14 | 3.3x | 24 | 6% |
| SMA 크로스오버 fast=24, slow=143 |
6.4% | -63.8% | 0.36 | 0.10 | 7.7x | 69 | 59% |
| Supertrend period=14, mult=2.6 |
6.5% | -77.6% | 0.36 | 0.08 | 8.0x | 292 | 54% |
| MACD fast=19, slow=42, signal=18 |
5.6% | -70.7% | 0.33 | 0.08 | 6.1x | 366 | 49% |
| ROC 모멘텀 n=124, threshold=0.06 |
3.8% | -63.8% | 0.27 | 0.06 | 3.4x | 320 | 50% |
| Parabolic SAR step=0.025, maxStep=0.16 |
2.3% | -89.0% | 0.24 | 0.03 | 2.1x | 756 | 53% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
1.2% | -53.2% | 0.16 | 0.02 | 1.5x | 32 | 9% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=2.8 |
0.5% | -77.8% | 0.14 | 0.01 | 1.2x | 140 | 33% |
| Buy and hold | 9.5% | -85.8% | 0.43 | 0.11 | 19.5x | 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 99 days
- Sell — Sell when price breaks below the lowest low of the last 61 days