Trend-Following Backtester · Guide · backtest 한국어
equity · US
Delek US Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Delek US Holdings, Inc.. 7 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 11.2%, MDD -42.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.7%, drawdown -87.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -42.7%, Sharpe 0.61, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.9%, MDD -57.4%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 11.2%, MDD -42.7%, exposure 19%).
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=106, exitN=9 |
11.2% | -42.7% | 0.61 | 0.26 | 8.6x | 61 | 19% |
| SMA 크로스오버 fast=54, slow=103 |
14.9% | -57.4% | 0.58 | 0.26 | 16.8x | 51 | 50% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=20, mult=2.9 |
9.7% | -45.8% | 0.56 | 0.21 | 6.6x | 60 | 18% |
| 볼린저 밴드 돌파 n=26, k=2.3 |
11.4% | -63.6% | 0.54 | 0.18 | 9.0x | 102 | 25% |
| Supertrend period=27, mult=4.2 |
13.7% | -63.3% | 0.54 | 0.22 | 13.5x | 77 | 50% |
| EMA 크로스오버 fast=17, slow=92 |
12.9% | -54.9% | 0.53 | 0.24 | 11.8x | 73 | 53% |
| ROC 모멘텀 n=125, threshold=-0.08 |
12.4% | -78.0% | 0.50 | 0.16 | 10.7x | 143 | 63% |
| Parabolic SAR step=0.02, maxStep=0.24 |
7.5% | -65.4% | 0.38 | 0.11 | 4.4x | 477 | 51% |
| ADX / DI 방향성 period=16, threshold=22 |
6.2% | -69.6% | 0.37 | 0.09 | 3.4x | 171 | 24% |
| MACD fast=18, slow=54, signal=11 |
4.2% | -87.6% | 0.30 | 0.05 | 2.3x | 269 | 52% |
| Buy and hold | 7.7% | -87.3% | 0.41 | 0.09 | 4.6x | 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 106 days
- Sell — Sell when price breaks below the lowest low of the last 9 days