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 15.4%, MDD -36.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.8%, drawdown -65.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.4%, MDD -36.8%, Sharpe 0.68, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 15.4%, 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 |
15.4% | -36.8% | 0.68 | 0.42 | 8.5x | 60 | 71% |
| Supertrend period=14, mult=4.2 |
12.7% | -37.0% | 0.63 | 0.34 | 6.0x | 52 | 58% |
| EMA 크로스오버 fast=9, slow=74 |
8.8% | -34.1% | 0.48 | 0.26 | 3.5x | 60 | 60% |
| ROC 모멘텀 n=43, threshold=-0.07 |
9.0% | -56.8% | 0.46 | 0.16 | 3.6x | 116 | 77% |
| SMA 크로스오버 fast=21, slow=38 |
7.8% | -52.7% | 0.44 | 0.15 | 3.1x | 108 | 57% |
| MACD fast=35, slow=58, signal=23 |
3.8% | -42.3% | 0.28 | 0.09 | 1.8x | 112 | 52% |
| 볼린저 밴드 돌파 n=38, k=1.5 |
2.1% | -52.6% | 0.20 | 0.04 | 1.4x | 114 | 43% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=9, mult=1.5 |
1.7% | -44.3% | 0.18 | 0.04 | 1.3x | 128 | 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 |
-1.1% | -60.9% | 0.05 | -0.02 | 0.8x | 232 | 46% |
| Buy and hold | 9.8% | -65.1% | 0.45 | 0.15 | 4.1x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 30 days