Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fortune Brands Innovations, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fortune Brands Innovations, Inc.. 2 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 15.9%, MDD -36.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.7%, drawdown -65.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.9%, MDD -36.8%, Sharpe 0.70, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 15.9%, MDD -36.8%, exposure 71%).
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=13, exitN=30 |
15.9% | -36.8% | 0.70 | 0.43 | 9.0x | 59 | 71% |
| Supertrend period=14, mult=4.2 |
13.6% | -37.0% | 0.67 | 0.37 | 6.7x | 51 | 58% |
| EMA 크로스오버 fast=9, slow=74 |
9.6% | -34.1% | 0.52 | 0.28 | 3.9x | 59 | 60% |
| ROC 모멘텀 n=43, threshold=-0.07 |
9.7% | -56.8% | 0.49 | 0.17 | 4.0x | 115 | 77% |
| SMA 크로스오버 fast=21, slow=38 |
8.3% | -52.7% | 0.46 | 0.16 | 3.3x | 107 | 57% |
| MACD fast=35, slow=58, signal=23 |
4.1% | -42.3% | 0.29 | 0.10 | 1.8x | 111 | 52% |
| 볼린저 밴드 돌파 n=38, k=1.5 |
2.3% | -52.6% | 0.22 | 0.04 | 1.4x | 113 | 43% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=9, mult=1.5 |
1.9% | -44.3% | 0.19 | 0.04 | 1.3x | 127 | 41% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.0% | -57.7% | 0.08 | -0.02 | 0.9x | 150 | 56% |
| ADX / DI 방향성 period=16, threshold=15 |
-0.9% | -60.9% | 0.06 | -0.02 | 0.9x | 231 | 46% |
| Buy and hold | 10.7% | -65.1% | 0.47 | 0.16 | 4.5x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 30 days