Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ford Motor Company backtest
10 trend-following strategies were compared on the full daily history of Ford Motor Company. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -72.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.5%, drawdown -96.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -81.7%, Sharpe 0.41, 62% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 14.8%p (CAGR 4.3%, MDD -72.5%, exposure 34%).
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=24, exitN=39 |
7.5% | -81.7% | 0.41 | 0.09 | 49.4x | 193 | 62% |
| Supertrend period=20, mult=4.7 |
5.1% | -81.6% | 0.33 | 0.06 | 15.2x | 188 | 51% |
| SMA 크로스오버 fast=26, slow=214 |
4.7% | -72.9% | 0.32 | 0.06 | 12.0x | 97 | 48% |
| 볼린저 밴드 돌파 n=55, k=2 |
4.3% | -72.5% | 0.31 | 0.06 | 10.0x | 212 | 34% |
| ROC 모멘텀 n=85, threshold=0.12 |
3.5% | -77.0% | 0.28 | 0.05 | 6.4x | 428 | 29% |
| EMA 크로스오버 fast=50, slow=158 |
3.5% | -76.2% | 0.26 | 0.05 | 6.4x | 99 | 48% |
| ADX / DI 방향성 period=39, threshold=17 |
2.2% | -54.1% | 0.23 | 0.04 | 3.3x | 126 | 16% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=21, mult=1.7 |
2.5% | -67.5% | 0.22 | 0.04 | 3.9x | 296 | 40% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.7% | -65.3% | 0.15 | 0.01 | 1.5x | 453 | 51% |
| MACD fast=24, slow=42, signal=9 |
-3.2% | -94.9% | 0.00 | -0.03 | 0.2x | 752 | 51% |
| Buy and hold | 3.5% | -96.6% | 0.27 | 0.04 | 6.4x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 39 days