Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ferguson Enterprises Inc. backtest
10 trend-following strategies were compared on the full daily history of Ferguson Enterprises Inc.. 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 15.3%, drawdown -55.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -35.6%, Sharpe 0.58, 76% 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=22, exitN=56 |
11.2% | -35.6% | 0.58 | 0.31 | 5.8x | 57 | 76% |
| EMA 크로스오버 fast=10, slow=45 |
9.6% | -33.3% | 0.56 | 0.29 | 4.6x | 86 | 64% |
| ROC 모멘텀 n=108, threshold=-0.02 |
9.9% | -32.9% | 0.55 | 0.30 | 4.8x | 72 | 70% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=13, mult=1.1 |
9.0% | -29.4% | 0.54 | 0.31 | 4.2x | 102 | 62% |
| SMA 크로스오버 fast=10, slow=63 |
8.9% | -34.6% | 0.53 | 0.26 | 4.1x | 78 | 62% |
| Parabolic SAR step=0.005, maxStep=0.26 |
6.7% | -38.9% | 0.42 | 0.17 | 3.0x | 103 | 61% |
| ADX / DI 방향성 period=34, threshold=11 |
5.9% | -35.4% | 0.39 | 0.17 | 2.6x | 132 | 64% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
5.3% | -39.1% | 0.39 | 0.14 | 2.3x | 86 | 47% |
| Supertrend period=28, mult=3.7 |
2.6% | -59.7% | 0.23 | 0.04 | 1.5x | 184 | 60% |
| MACD fast=22, slow=69, signal=35 |
1.8% | -47.1% | 0.19 | 0.04 | 1.3x | 135 | 48% |
| Buy and hold | 15.3% | -55.4% | 0.62 | 0.28 | 10.5x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 56 days