Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ducommun Incorporated backtest
10 trend-following strategies were compared on the full daily history of Ducommun Incorporated. 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 8.0%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -89.3%, Sharpe 0.30, 76% 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=18, exitN=79 |
4.0% | -89.3% | 0.30 | 0.04 | 8.1x | 141 | 76% |
| SMA 크로스오버 fast=26, slow=167 |
3.6% | -85.9% | 0.27 | 0.04 | 6.5x | 111 | 55% |
| EMA 크로스오버 fast=52, slow=151 |
1.6% | -84.8% | 0.20 | 0.02 | 2.3x | 99 | 55% |
| 볼린저 밴드 돌파 n=70, k=1 |
0.8% | -90.0% | 0.17 | 0.01 | 1.5x | 283 | 45% |
| ROC 모멘텀 n=134, threshold=0.11 |
0.6% | -91.8% | 0.15 | 0.01 | 1.4x | 445 | 39% |
| Supertrend period=8, mult=4.8 |
-0.8% | -90.7% | 0.14 | -0.01 | 0.6x | 219 | 56% |
| MACD fast=31, slow=46, signal=13 |
-2.1% | -90.4% | 0.10 | -0.02 | 0.3x | 566 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=14, mult=2 |
-1.3% | -88.2% | 0.08 | -0.01 | 0.5x | 298 | 38% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-3.4% | -97.7% | 0.05 | -0.04 | 0.2x | 632 | 51% |
| ADX / DI 방향성 period=31, threshold=26 |
-0.3% | -61.0% | 0.03 | -0.01 | 0.8x | 82 | 8% |
| Buy and hold | 8.0% | -95.2% | 0.40 | 0.08 | 60.7x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 79 days