Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clean Harbors, Inc. backtest
10 trend-following strategies were compared on the full daily history of Clean Harbors, 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 11.6%, drawdown -95.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -97.7%, Sharpe 0.37, 80% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -89.9%, exposure 56%.
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=24, exitN=82 |
6.0% | -97.7% | 0.37 | 0.06 | 9.5x | 85 | 80% |
| SMA 크로스오버 fast=41, slow=96 |
6.0% | -89.9% | 0.34 | 0.07 | 9.7x | 99 | 56% |
| Supertrend period=12, mult=4.6 |
1.8% | -97.4% | 0.24 | 0.02 | 2.0x | 123 | 55% |
| EMA 크로스오버 fast=21, slow=48 |
1.8% | -92.6% | 0.24 | 0.02 | 2.0x | 165 | 56% |
| MACD fast=24, slow=61, signal=46 |
-2.6% | -98.2% | 0.15 | -0.03 | 0.4x | 271 | 50% |
| ROC 모멘텀 n=100, threshold=0.03 |
-1.6% | -97.5% | 0.15 | -0.02 | 0.5x | 401 | 53% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
-1.2% | -93.4% | 0.15 | -0.01 | 0.6x | 259 | 43% |
| ADX / DI 방향성 period=29, threshold=16 |
-1.1% | -95.3% | 0.14 | -0.01 | 0.6x | 228 | 37% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.2% | -96.2% | 0.13 | -0.03 | 0.3x | 307 | 51% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=9, mult=2.8 |
-2.4% | -89.4% | 0.02 | -0.03 | 0.4x | 150 | 25% |
| Buy and hold | 11.6% | -95.5% | 0.48 | 0.12 | 69.2x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 82 days