Trend-Following Backtester · Guide · backtest 한국어
equity · US
BWX Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of BWX Technologies, Inc.. 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 17.7%, MDD -29.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.6%, drawdown -48.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.7%, MDD -29.0%, Sharpe 0.79, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 17.7%, MDD -29.0%, exposure 84%).
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=19, exitN=64 |
17.7% | -29.0% | 0.79 | 0.61 | 13.6x | 26 | 84% |
| SMA 크로스오버 fast=63, slow=120 |
14.4% | -40.6% | 0.70 | 0.35 | 8.5x | 26 | 73% |
| ROC 모멘텀 n=104, threshold=-0.08 |
12.6% | -50.6% | 0.61 | 0.25 | 6.6x | 46 | 81% |
| EMA 크로스오버 fast=55, slow=110 |
11.4% | -54.2% | 0.58 | 0.21 | 5.6x | 28 | 71% |
| Supertrend period=27, mult=4.3 |
9.3% | -35.3% | 0.52 | 0.26 | 4.1x | 64 | 65% |
| 볼린저 밴드 돌파 n=45, k=1.4 |
4.6% | -50.3% | 0.34 | 0.09 | 2.1x | 110 | 50% |
| ADX / DI 방향성 period=32, threshold=19 |
2.8% | -37.2% | 0.27 | 0.07 | 1.5x | 54 | 26% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=3.5 |
1.8% | -41.2% | 0.20 | 0.04 | 1.3x | 52 | 32% |
| MACD fast=16, slow=39, signal=16 |
-1.2% | -64.0% | 0.05 | -0.02 | 0.8x | 216 | 51% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-2.8% | -73.4% | -0.03 | -0.04 | 0.6x | 334 | 55% |
| Buy and hold | 15.6% | -48.2% | 0.64 | 0.32 | 10.1x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 64 days