Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cabot Corporation backtest
10 trend-following strategies were compared on the full daily history of Cabot Corporation. 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 5.4%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -69.4%, Sharpe 0.29, 73% 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=38 |
4.3% | -69.4% | 0.29 | 0.06 | 6.7x | 247 | 73% |
| SMA 크로스오버 fast=57, slow=164 |
3.5% | -62.5% | 0.27 | 0.06 | 4.9x | 73 | 55% |
| Supertrend period=13, mult=3.8 |
3.4% | -61.1% | 0.26 | 0.06 | 4.6x | 267 | 54% |
| Parabolic SAR step=0.01, maxStep=0.12 |
3.1% | -55.9% | 0.25 | 0.06 | 4.1x | 585 | 52% |
| MACD fast=16, slow=47, signal=17 |
2.1% | -65.7% | 0.21 | 0.03 | 2.6x | 522 | 51% |
| EMA 크로스오버 fast=56, slow=222 |
1.9% | -64.0% | 0.20 | 0.03 | 2.3x | 59 | 57% |
| 볼린저 밴드 돌파 n=54, k=1 |
1.4% | -70.9% | 0.17 | 0.02 | 1.9x | 301 | 45% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=2.7 |
1.1% | -65.1% | 0.15 | 0.02 | 1.6x | 220 | 31% |
| ADX / DI 방향성 period=35, threshold=30 |
0.5% | -24.5% | 0.13 | 0.02 | 1.3x | 22 | 4% |
| ROC 모멘텀 n=146, threshold=-0.04 |
-0.1% | -75.1% | 0.12 | -0.00 | 0.9x | 363 | 61% |
| Buy and hold | 5.4% | -83.8% | 0.33 | 0.06 | 11.1x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 38 days