Trend-Following Backtester · Guide · backtest 한국어
equity · US
Donnelley Financial Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Donnelley Financial Solutions, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.6%, MDD -30.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.4%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.0%, MDD -41.1%, Sharpe 0.65, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 8.6%, MDD -30.0%, exposure 15%).
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=102, exitN=73 |
14.0% | -41.1% | 0.65 | 0.34 | 3.6x | 6 | 40% |
| SMA 크로스오버 fast=59, slow=259 |
12.7% | -45.9% | 0.59 | 0.28 | 3.2x | 8 | 42% |
| 볼린저 밴드 돌파 n=60, k=3.2 |
8.6% | -30.0% | 0.59 | 0.29 | 2.2x | 8 | 15% |
| EMA 크로스오버 fast=50, slow=240 |
9.0% | -53.6% | 0.45 | 0.17 | 2.3x | 8 | 45% |
| ROC 모멘텀 n=106, threshold=0.08 |
7.7% | -52.2% | 0.42 | 0.15 | 2.1x | 60 | 37% |
| ADX / DI 방향성 period=32, threshold=19 |
5.7% | -47.9% | 0.38 | 0.12 | 1.7x | 20 | 17% |
| Supertrend period=16, mult=4.5 |
6.9% | -61.2% | 0.37 | 0.11 | 1.9x | 35 | 51% |
| MACD fast=5, slow=22, signal=8 |
4.2% | -55.4% | 0.29 | 0.08 | 1.5x | 264 | 54% |
| Parabolic SAR step=0.015, maxStep=0.16 |
1.2% | -55.8% | 0.21 | 0.02 | 1.1x | 154 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=4 |
0.5% | -44.8% | 0.13 | 0.01 | 1.0x | 20 | 18% |
| Buy and hold | 7.4% | -85.8% | 0.39 | 0.09 | 2.0x | 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 102 days
- Sell — Sell when price breaks below the lowest low of the last 73 days