Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carlisle Companies Incorporated backtest
10 trend-following strategies were compared on the full daily history of Carlisle Companies Incorporated. 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 9.7%, MDD -47.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -65.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -47.6%, Sharpe 0.53, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 17.9%p (CAGR 9.7%, MDD -47.6%, exposure 64%).
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=42, exitN=51 |
9.7% | -47.6% | 0.53 | 0.20 | 145.2x | 143 | 64% |
| EMA 크로스오버 fast=23, slow=79 |
7.8% | -54.1% | 0.45 | 0.14 | 56.8x | 163 | 64% |
| ROC 모멘텀 n=129, threshold=-0.07 |
7.9% | -63.0% | 0.44 | 0.13 | 58.9x | 290 | 75% |
| SMA 크로스오버 fast=8, slow=115 |
7.3% | -60.1% | 0.43 | 0.12 | 42.9x | 221 | 63% |
| Supertrend period=12, mult=5 |
6.7% | -54.2% | 0.41 | 0.12 | 32.6x | 215 | 58% |
| 볼린저 밴드 돌파 n=57, k=2.5 |
3.9% | -42.4% | 0.33 | 0.09 | 7.8x | 162 | 31% |
| MACD fast=29, slow=98, signal=30 |
3.5% | -66.1% | 0.27 | 0.05 | 6.5x | 349 | 51% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=19, mult=3.9 |
2.7% | -55.6% | 0.26 | 0.05 | 4.2x | 170 | 26% |
| ADX / DI 방향성 period=65, threshold=26 |
0.9% | -19.3% | 0.25 | 0.05 | 1.7x | 4 | 1% |
| Parabolic SAR step=0.01, maxStep=0.3 |
0.3% | -81.5% | 0.12 | 0.00 | 1.2x | 710 | 55% |
| Buy and hold | 12.2% | -65.5% | 0.53 | 0.19 | 482.4x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 51 days