Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dole plc backtest
10 trend-following strategies were compared on the full daily history of Dole plc. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.5%, MDD -3.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.0%, drawdown -57.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.5%, MDD -3.9%, Sharpe 0.72, 3% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 8.8%, MDD -21.3%, exposure 31%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 2.5%, MDD -3.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=3.7 |
2.5% | -3.9% | 0.72 | 0.64 | 1.1x | 2 | 3% |
| ADX / DI 방향성 period=34, threshold=14 |
8.8% | -21.3% | 0.64 | 0.41 | 1.5x | 26 | 31% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
2.6% | -8.2% | 0.56 | 0.32 | 1.1x | 8 | 5% |
| Donchian 채널 돌파 entryN=107, exitN=40 |
6.0% | -20.6% | 0.49 | 0.29 | 1.3x | 6 | 29% |
| ROC 모멘텀 n=94, threshold=0.11 |
4.0% | -23.0% | 0.37 | 0.18 | 1.2x | 34 | 24% |
| SMA 크로스오버 fast=19, slow=157 |
2.6% | -31.6% | 0.23 | 0.08 | 1.1x | 12 | 43% |
| Supertrend period=28, mult=5 |
2.4% | -36.5% | 0.22 | 0.07 | 1.1x | 14 | 55% |
| MACD fast=9, slow=31, signal=16 |
1.8% | -33.3% | 0.19 | 0.05 | 1.1x | 71 | 50% |
| EMA 크로스오버 fast=15, slow=51 |
0.8% | -36.7% | 0.14 | 0.02 | 1.0x | 26 | 47% |
| Parabolic SAR step=0.03, maxStep=0.06 |
-2.0% | -37.4% | 0.00 | -0.05 | 0.9x | 81 | 47% |
| Buy and hold | -1.0% | -57.0% | 0.11 | -0.02 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average