Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dover Corporation backtest
10 trend-following strategies were compared on the full daily history of Dover Corporation. 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 11.2%, drawdown -59.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -66.5%, Sharpe 0.51, 92% 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=5, exitN=66 |
10.3% | -66.5% | 0.51 | 0.15 | 93.3x | 156 | 92% |
| Supertrend period=13, mult=5 |
5.2% | -40.9% | 0.36 | 0.13 | 10.4x | 162 | 60% |
| EMA 크로스오버 fast=15, slow=105 |
4.0% | -60.0% | 0.30 | 0.07 | 6.2x | 162 | 66% |
| SMA 크로스오버 fast=21, slow=71 |
3.3% | -60.7% | 0.27 | 0.05 | 4.6x | 182 | 61% |
| ROC 모멘텀 n=124, threshold=-0.03 |
2.2% | -59.4% | 0.21 | 0.04 | 2.8x | 373 | 72% |
| 볼린저 밴드 돌파 n=14, k=3 |
0.6% | -18.0% | 0.19 | 0.03 | 1.3x | 28 | 2% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.3% | -68.9% | 0.16 | 0.02 | 1.8x | 412 | 56% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=19, mult=2.3 |
0.3% | -67.4% | 0.10 | 0.00 | 1.1x | 240 | 46% |
| ADX / DI 방향성 period=27, threshold=20 |
0.3% | -50.6% | 0.08 | 0.01 | 1.1x | 174 | 21% |
| MACD fast=16, slow=34, signal=13 |
-0.5% | -69.6% | 0.06 | -0.01 | 0.8x | 672 | 49% |
| Buy and hold | 11.2% | -59.5% | 0.52 | 0.19 | 138.3x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 66 days