Trend-Following Backtester · Guide · backtest 한국어
equity · US
Comfort Systems USA, Inc. backtest
10 trend-following strategies were compared on the full daily history of Comfort Systems USA, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.5%, MDD -73.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.4%, drawdown -93.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.2%, MDD -80.8%, Sharpe 0.59, 87% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 12.6%p (CAGR 14.5%, MDD -73.0%, exposure 66%).
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=7, exitN=65 |
17.2% | -80.8% | 0.59 | 0.21 | 102.1x | 102 | 87% |
| EMA 크로스오버 fast=59, slow=243 |
14.5% | -73.0% | 0.57 | 0.20 | 51.1x | 27 | 66% |
| Supertrend period=14, mult=5 |
12.4% | -74.5% | 0.51 | 0.17 | 29.8x | 90 | 63% |
| SMA 크로스오버 fast=9, slow=178 |
11.5% | -64.9% | 0.50 | 0.18 | 23.8x | 73 | 63% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=10, mult=2.4 |
10.3% | -68.2% | 0.50 | 0.15 | 17.5x | 104 | 47% |
| MACD fast=21, slow=27, signal=17 |
5.8% | -70.7% | 0.34 | 0.08 | 5.1x | 338 | 50% |
| ROC 모멘텀 n=84, threshold=0.05 |
5.7% | -78.9% | 0.33 | 0.07 | 5.0x | 313 | 53% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.9% | -78.8% | 0.22 | 0.02 | 1.7x | 504 | 54% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
1.5% | -92.2% | 0.20 | 0.02 | 1.6x | 184 | 50% |
| ADX / DI 방향성 period=16, threshold=13 |
1.2% | -79.0% | 0.19 | 0.01 | 1.4x | 514 | 51% |
| Buy and hold | 17.4% | -93.4% | 0.58 | 0.19 | 107.6x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 65 days