Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dauch Corporation backtest
10 trend-following strategies were compared on the full daily history of Dauch Corporation. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -56.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.8%, drawdown -99.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -72.9%, Sharpe 0.35, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 0.1%, MDD -56.9%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=78, slow=208 |
7.3% | -72.9% | 0.35 | 0.10 | 7.0x | 38 | 43% |
| ADX / DI 방향성 period=44, threshold=14 |
6.8% | -71.1% | 0.33 | 0.10 | 6.1x | 76 | 19% |
| Donchian 채널 돌파 entryN=10, exitN=10 |
4.8% | -80.8% | 0.30 | 0.06 | 3.6x | 279 | 50% |
| Supertrend period=15, mult=3.7 |
3.5% | -82.0% | 0.27 | 0.04 | 2.6x | 144 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.3% | -86.1% | 0.24 | 0.02 | 1.4x | 244 | 51% |
| ROC 모멘텀 n=66, threshold=0.17 |
2.5% | -84.8% | 0.22 | 0.03 | 2.0x | 256 | 24% |
| MACD fast=16, slow=35, signal=8 |
-2.9% | -96.6% | 0.20 | -0.03 | 0.4x | 493 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=2.8 |
0.4% | -80.2% | 0.15 | 0.01 | 1.1x | 98 | 23% |
| EMA 크로스오버 fast=9, slow=15 |
-4.4% | -93.1% | 0.13 | -0.05 | 0.3x | 367 | 52% |
| 볼린저 밴드 돌파 n=49, k=3.2 |
0.1% | -56.9% | 0.11 | 0.00 | 1.0x | 32 | 12% |
| Buy and hold | -3.8% | -99.3% | 0.28 | -0.04 | 0.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 78-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 78-day average falls below the 208-day average