Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fluor Corporation backtest
10 trend-following strategies were compared on the full daily history of Fluor Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -57.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.2%, drawdown -96.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -84.7%, Sharpe 0.39, 84% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 11.9%p (CAGR 5.2%, MDD -57.1%, exposure 55%).
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=84 |
7.5% | -84.7% | 0.39 | 0.09 | 6.4x | 65 | 84% |
| SMA 크로스오버 fast=15, slow=163 |
5.2% | -57.1% | 0.32 | 0.09 | 3.6x | 61 | 55% |
| 볼린저 밴드 돌파 n=23, k=2.9 |
3.0% | -40.4% | 0.27 | 0.07 | 2.1x | 54 | 11% |
| EMA 크로스오버 fast=8, slow=207 |
2.6% | -74.6% | 0.24 | 0.04 | 2.0x | 71 | 57% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=8, mult=3.8 |
0.7% | -16.4% | 0.20 | 0.04 | 1.2x | 4 | 1% |
| MACD fast=18, slow=30, signal=18 |
0.8% | -79.7% | 0.18 | 0.01 | 1.2x | 298 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.9% | -84.0% | 0.18 | 0.01 | 1.2x | 208 | 51% |
| Supertrend period=12, mult=3.4 |
0.7% | -80.4% | 0.18 | 0.01 | 1.2x | 145 | 55% |
| ROC 모멘텀 n=120, threshold=-0.08 |
0.2% | -78.1% | 0.17 | 0.00 | 1.0x | 189 | 69% |
| ADX / DI 방향성 period=22, threshold=38 |
0.1% | -11.5% | 0.06 | 0.01 | 1.0x | 12 | 2% |
| Buy and hold | 5.2% | -96.6% | 0.34 | 0.05 | 3.7x | 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 84 days