Trend-Following Backtester · Guide · backtest 한국어

equity · US

EMCOR Group, Inc. backtest

10 trend-following strategies were compared on the full daily history of EMCOR Group, Inc.. 1 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 22.7%, MDD -52.4%).

Data 1995-01-10 ~ 2026-07-31daily bars 7,942 (31.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 22.4%, drawdown -70.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.7%, MDD -52.4%, Sharpe 0.77, 95% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 22.7%, MDD -52.4%, exposure 95%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=5, exitN=105
22.7%-52.4%0.770.43635.7x6595%
EMA 크로스오버
fast=51, slow=64
15.6%-49.6%0.670.3196.8x6870%
SMA 크로스오버
fast=36, slow=184
15.1%-55.2%0.650.2785.1x5168%
ROC 모멘텀
n=98, threshold=-0.1
16.2%-68.4%0.650.24113.0x17385%
Supertrend
period=20, mult=4.7
11.4%-45.0%0.550.2529.8x11260%
MACD
fast=17, slow=51, signal=14
7.3%-41.6%0.410.189.2x38250%
볼린저 밴드 돌파
n=29, k=2.6
5.0%-50.3%0.390.104.7x14025%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=12, mult=1.8
5.1%-71.1%0.340.074.8x22243%
Parabolic SAR
step=0.005, maxStep=0.32
5.6%-54.1%0.340.105.6x27858%
ADX / DI 방향성
period=33, threshold=24
1.7%-36.4%0.230.051.7x448%
Buy and hold22.4%-70.6%0.730.32590.5x1100%
1x 10x 100x 1996 2000 2004 2008 2012 2016 2020 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -35% -53% -71% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -52.4% (2002-05-02 → 2003-10-22), recovered after 1,348 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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