Trend-Following Backtester · Guide · backtest 한국어
equity · US
Graco Inc. backtest
10 trend-following strategies were compared on the full daily history of Graco 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 14.1%, drawdown -70.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -54.7%, Sharpe 0.50, 73% 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=20, exitN=54 |
9.1% | -54.7% | 0.50 | 0.17 | 58.0x | 145 | 73% |
| ROC 모멘텀 n=45, threshold=-0.09 |
8.5% | -54.5% | 0.45 | 0.16 | 44.5x | 337 | 85% |
| 볼린저 밴드 돌파 n=57, k=1.9 |
6.3% | -46.0% | 0.45 | 0.14 | 17.2x | 185 | 41% |
| Supertrend period=26, mult=4.5 |
6.9% | -49.1% | 0.43 | 0.14 | 22.2x | 201 | 60% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=2 |
5.6% | -49.5% | 0.40 | 0.11 | 12.6x | 258 | 44% |
| SMA 크로스오버 fast=9, slow=76 |
6.3% | -52.1% | 0.40 | 0.12 | 17.2x | 233 | 61% |
| EMA 크로스오버 fast=29, slow=38 |
5.7% | -49.6% | 0.37 | 0.12 | 13.2x | 215 | 61% |
| MACD fast=29, slow=40, signal=24 |
5.4% | -52.6% | 0.37 | 0.10 | 11.4x | 427 | 52% |
| Parabolic SAR step=0.005, maxStep=0.06 |
4.9% | -64.0% | 0.34 | 0.08 | 9.3x | 369 | 57% |
| ADX / DI 방향성 period=21, threshold=15 |
3.9% | -45.1% | 0.30 | 0.09 | 6.0x | 459 | 47% |
| Buy and hold | 14.1% | -70.4% | 0.60 | 0.20 | 467.6x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 54 days