Trend-Following Backtester · Guide · backtest 한국어
equity · US
Emerson Electric Company backtest
10 trend-following strategies were compared on the full daily history of Emerson Electric Company. 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 7.1%, drawdown -59.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -55.3%, Sharpe 0.40, 95% 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=11, exitN=227 |
6.9% | -55.3% | 0.40 | 0.12 | 36.2x | 51 | 95% |
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.11 |
6.4% | -59.5% | 0.37 | 0.11 | 28.6x | 31 | 100% |
| SMA 크로스오버 fast=71, slow=202 |
1.9% | -62.1% | 0.19 | 0.03 | 2.7x | 79 | 63% |
| EMA 크로스오버 fast=48, slow=199 |
1.6% | -53.4% | 0.18 | 0.03 | 2.4x | 83 | 69% |
| 볼린저 밴드 돌파 n=11, k=3 |
0.1% | -2.6% | 0.13 | 0.05 | 1.1x | 2 | 0% |
| Supertrend period=26, mult=4.5 |
-1.0% | -78.2% | 0.03 | -0.01 | 0.6x | 231 | 57% |
| ADX / DI 방향성 period=14, threshold=43 |
-0.3% | -24.2% | -0.08 | -0.01 | 0.9x | 38 | 2% |
| MACD fast=17, slow=37, signal=18 |
-3.2% | -92.0% | -0.10 | -0.04 | 0.2x | 685 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.4% | -93.2% | -0.11 | -0.04 | 0.2x | 467 | 56% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=4 |
-1.6% | -59.4% | -0.11 | -0.03 | 0.4x | 132 | 22% |
| Buy and hold | 7.1% | -59.1% | 0.39 | 0.12 | 42.0x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 227 days