Trend-Following Backtester · Guide · backtest 한국어
equity · US
Curtiss-Wright Corporation backtest
10 trend-following strategies were compared on the full daily history of Curtiss-Wright Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.6%, MDD -49.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -70.1%).
Sharpe leader (same as main): Supertrend — CAGR 9.6%, MDD -49.1%, Sharpe 0.56, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.4%, MDD -69.7%, exposure 87%.
Return/drawdown alternative: Supertrend — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 21.0%p (CAGR 9.6%, MDD -49.1%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3.8 |
9.6% | -49.1% | 0.56 | 0.20 | 71.2x | 314 | 58% |
| Donchian 채널 돌파 entryN=7, exitN=67 |
11.4% | -69.7% | 0.55 | 0.16 | 148.1x | 192 | 87% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=1.1 |
5.5% | -41.7% | 0.38 | 0.13 | 12.2x | 398 | 55% |
| EMA 크로스오버 fast=19, slow=79 |
5.3% | -64.7% | 0.35 | 0.08 | 10.9x | 168 | 66% |
| MACD fast=15, slow=40, signal=19 |
4.8% | -48.8% | 0.33 | 0.10 | 8.8x | 544 | 50% |
| 볼린저 밴드 돌파 n=47, k=1 |
4.3% | -48.6% | 0.33 | 0.09 | 7.2x | 358 | 50% |
| Parabolic SAR step=0.01, maxStep=0.36 |
4.3% | -56.3% | 0.31 | 0.08 | 7.0x | 618 | 53% |
| SMA 크로스오버 fast=9, slow=116 |
4.3% | -68.4% | 0.30 | 0.06 | 7.0x | 190 | 65% |
| ROC 모멘텀 n=126, threshold=0.04 |
3.4% | -69.3% | 0.27 | 0.05 | 4.7x | 426 | 56% |
| ADX / DI 방향성 period=11, threshold=19 |
2.6% | -71.4% | 0.23 | 0.04 | 3.3x | 838 | 48% |
| Buy and hold | 12.3% | -70.1% | 0.55 | 0.18 | 220.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)