Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eagle Materials Inc backtest
10 trend-following strategies were compared on the full daily history of Eagle Materials Inc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.8%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -80.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -60.5%, Sharpe 0.57, 57% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.8%, MDD -51.5%, exposure 62%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 20.1%p (CAGR 11.8%, MDD -51.5%, exposure 62%).
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=93, exitN=76 |
11.5% | -60.5% | 0.57 | 0.19 | 34.2x | 40 | 57% |
| SMA 크로스오버 fast=18, slow=133 |
11.8% | -51.5% | 0.57 | 0.23 | 36.7x | 82 | 62% |
| EMA 크로스오버 fast=33, slow=113 |
11.3% | -53.4% | 0.55 | 0.21 | 32.1x | 64 | 63% |
| Supertrend period=10, mult=4.2 |
6.2% | -56.7% | 0.36 | 0.11 | 7.1x | 162 | 60% |
| Parabolic SAR step=0.02, maxStep=0.02 |
6.0% | -68.7% | 0.36 | 0.09 | 6.7x | 198 | 59% |
| 볼린저 밴드 돌파 n=65, k=1.9 |
5.3% | -49.5% | 0.35 | 0.11 | 5.3x | 120 | 40% |
| ROC 모멘텀 n=131, threshold=-0.03 |
5.9% | -76.5% | 0.35 | 0.08 | 6.4x | 220 | 68% |
| ADX / DI 방향성 period=30, threshold=22 |
2.6% | -37.6% | 0.28 | 0.07 | 2.3x | 72 | 13% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=9, mult=4 |
3.3% | -38.7% | 0.27 | 0.09 | 2.9x | 86 | 30% |
| MACD fast=14, slow=30, signal=17 |
-0.3% | -76.4% | 0.11 | -0.00 | 0.9x | 464 | 51% |
| Buy and hold | 12.2% | -80.6% | 0.49 | 0.15 | 41.1x | 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 93 days
- Sell — Sell when price breaks below the lowest low of the last 76 days