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 14.9%, drawdown -55.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -35.6%, Sharpe 0.57, 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 |
10.8% | -35.6% | 0.57 | 0.30 | 5.6x | 57 | 76% |
| EMA 크로스오버 fast=10, slow=45 |
9.0% | -33.3% | 0.53 | 0.27 | 4.2x | 88 | 64% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=13, mult=1.1 |
8.5% | -29.5% | 0.52 | 0.29 | 3.9x | 104 | 62% |
| ROC 모멘텀 n=108, threshold=-0.02 |
9.0% | -35.0% | 0.51 | 0.26 | 4.2x | 73 | 70% |
| SMA 크로스오버 fast=10, slow=63 |
8.0% | -42.4% | 0.49 | 0.19 | 3.6x | 79 | 62% |
| Parabolic SAR step=0.005, maxStep=0.26 |
6.7% | -38.9% | 0.42 | 0.17 | 3.0x | 104 | 61% |
| ADX / DI 방향성 period=34, threshold=11 |
5.6% | -35.4% | 0.37 | 0.16 | 2.5x | 134 | 64% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
4.8% | -39.1% | 0.36 | 0.12 | 2.2x | 88 | 47% |
| Supertrend period=28, mult=3.7 |
2.2% | -59.7% | 0.21 | 0.04 | 1.4x | 186 | 60% |
| MACD fast=22, slow=69, signal=35 |
1.5% | -47.1% | 0.17 | 0.03 | 1.3x | 135 | 48% |
| Buy and hold | 14.9% | -55.4% | 0.61 | 0.27 | 10.1x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 56 days