Trend-Following Backtester · Guide · backtest 한국어
equity · US
Flowserve Corporation backtest
10 trend-following strategies were compared on the full daily history of Flowserve Corporation. 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 8.8%, drawdown -78.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -65.7%, Sharpe 0.41, 87% 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=7, exitN=81 |
8.3% | -65.7% | 0.41 | 0.13 | 39.7x | 165 | 87% |
| Supertrend period=23, mult=3.1 |
4.1% | -76.4% | 0.29 | 0.05 | 6.4x | 322 | 54% |
| SMA 크로스오버 fast=30, slow=89 |
4.0% | -75.6% | 0.28 | 0.05 | 6.1x | 152 | 59% |
| EMA 크로스오버 fast=41, slow=81 |
2.6% | -83.9% | 0.23 | 0.03 | 3.3x | 120 | 61% |
| Parabolic SAR step=0.045, maxStep=0.08 |
2.5% | -88.5% | 0.22 | 0.03 | 3.1x | 913 | 53% |
| ADX / DI 방향성 period=26, threshold=39 |
1.0% | -18.8% | 0.21 | 0.05 | 1.6x | 18 | 3% |
| ROC 모멘텀 n=84, threshold=-0.03 |
2.0% | -80.9% | 0.21 | 0.02 | 2.5x | 427 | 65% |
| MACD fast=16, slow=45, signal=19 |
2.0% | -82.9% | 0.21 | 0.02 | 2.5x | 537 | 51% |
| 볼린저 밴드 돌파 n=43, k=2.8 |
1.3% | -65.0% | 0.16 | 0.02 | 1.8x | 104 | 19% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=3.3 |
-0.6% | -67.6% | 0.05 | -0.01 | 0.8x | 162 | 28% |
| Buy and hold | 8.8% | -78.4% | 0.41 | 0.11 | 49.4x | 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 81 days