Trend-Following Backtester · Guide · backtest 한국어

equity · US

Graham Holdings Company backtest

10 trend-following strategies were compared on the full daily history of Graham Holdings Company. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -54.1%).

Data 1973-02-21 ~ 2026-07-31daily bars 13,474 (53.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 11.1%, drawdown -69.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -56.8%, Sharpe 0.66, 78% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 12.3%p (CAGR 8.5%, MDD -54.1%, exposure 68%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=23, exitN=58
11.7%-56.8%0.660.21372.6x13178%
ROC 모멘텀
n=153, threshold=-0.15
11.3%-67.6%0.610.17309.7x14990%
SMA 크로스오버
fast=23, slow=285
8.5%-54.1%0.540.1679.6x7568%
EMA 크로스오버
fast=47, slow=152
8.3%-58.0%0.530.1469.9x8367%
Keltner 채널 돌파
emaPeriod=72, atrPeriod=29, mult=3
6.8%-49.8%0.530.1434.1x19842%
볼린저 밴드 돌파
n=69, k=1.7
6.2%-52.9%0.490.1225.4x20742%
Parabolic SAR
step=0.005, maxStep=0.02
6.5%-55.1%0.450.1229.1x26159%
Supertrend
period=8, mult=4.4
5.9%-74.4%0.420.0821.6x30355%
ADX / DI 방향성
period=39, threshold=17
3.7%-44.1%0.360.086.9x19230%
MACD
fast=24, slow=43, signal=18
3.1%-83.4%0.260.045.1x54351%
Buy and hold11.1%-69.1%0.540.16273.3x1100%
1x 10x 100x 1974 1981 1988 1995 2002 2009 2016 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -35% -52% -69% 1974 1981 1988 1995 2002 2009 2016 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -56.8% (2004-12-29 → 2012-08-03), recovered after 3,591 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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