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 14.0%, MDD -73.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.9%, drawdown -93.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.4%, MDD -80.8%, Sharpe 0.57, 87% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 12.6%p (CAGR 14.0%, 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 |
16.4% | -80.8% | 0.57 | 0.20 | 83.4x | 103 | 87% |
| EMA 크로스오버 fast=59, slow=243 |
14.0% | -73.0% | 0.56 | 0.19 | 45.6x | 27 | 66% |
| Supertrend period=14, mult=5 |
12.3% | -74.5% | 0.51 | 0.17 | 29.8x | 90 | 63% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=10, mult=2.4 |
10.3% | -68.2% | 0.50 | 0.15 | 17.5x | 104 | 47% |
| SMA 크로스오버 fast=9, slow=178 |
11.0% | -64.9% | 0.49 | 0.17 | 21.2x | 73 | 63% |
| ROC 모멘텀 n=84, threshold=0.05 |
5.4% | -78.9% | 0.33 | 0.07 | 4.7x | 316 | 53% |
| MACD fast=21, slow=27, signal=17 |
5.5% | -70.7% | 0.33 | 0.08 | 4.7x | 340 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.6% | -78.8% | 0.21 | 0.02 | 1.6x | 506 | 54% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
1.5% | -92.2% | 0.20 | 0.02 | 1.6x | 184 | 49% |
| ADX / DI 방향성 period=16, threshold=13 |
0.9% | -79.0% | 0.18 | 0.01 | 1.3x | 516 | 51% |
| Buy and hold | 16.9% | -93.4% | 0.57 | 0.18 | 96.1x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 65 days