Trend-Following Backtester · Guide · backtest 한국어
equity · US
CACI International, Inc. backtest
10 trend-following strategies were compared on the full daily history of CACI International, 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 16.2%, drawdown -90.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -69.3%, Sharpe 0.44, 77% 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=50, exitN=115 |
9.9% | -69.3% | 0.44 | 0.14 | 81.0x | 64 | 77% |
| SMA 크로스오버 fast=52, slow=144 |
7.1% | -78.6% | 0.37 | 0.09 | 24.1x | 94 | 60% |
| EMA 크로스오버 fast=47, slow=217 |
5.1% | -89.0% | 0.31 | 0.06 | 9.9x | 74 | 67% |
| Supertrend period=6, mult=4.5 |
5.0% | -96.2% | 0.31 | 0.05 | 9.7x | 172 | 58% |
| ROC 모멘텀 n=104, threshold=-0.02 |
4.9% | -88.4% | 0.31 | 0.06 | 9.1x | 462 | 64% |
| ADX / DI 방향성 period=34, threshold=27 |
3.6% | -49.2% | 0.31 | 0.07 | 5.0x | 50 | 7% |
| 볼린저 밴드 돌파 n=40, k=3.4 |
3.6% | -45.7% | 0.29 | 0.08 | 5.2x | 66 | 12% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=3.9 |
2.9% | -61.5% | 0.24 | 0.05 | 3.7x | 108 | 24% |
| Parabolic SAR step=0.015, maxStep=0.06 |
1.2% | -92.5% | 0.19 | 0.01 | 1.7x | 615 | 55% |
| MACD fast=15, slow=42, signal=20 |
-1.3% | -96.1% | 0.11 | -0.01 | 0.6x | 565 | 51% |
| Buy and hold | 16.2% | -90.9% | 0.56 | 0.18 | 1053.3x | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 115 days