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 8.4%, MDD -54.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -69.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -56.8%, Sharpe 0.65, 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 8.4%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=58 |
11.6% | -56.8% | 0.65 | 0.20 | 349.5x | 131 | 78% |
| ROC 모멘텀 n=153, threshold=-0.15 |
11.2% | -67.6% | 0.61 | 0.17 | 290.5x | 149 | 90% |
| SMA 크로스오버 fast=23, slow=285 |
8.4% | -54.1% | 0.54 | 0.16 | 74.7x | 75 | 68% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=29, mult=3 |
6.8% | -49.8% | 0.53 | 0.14 | 34.1x | 198 | 42% |
| EMA 크로스오버 fast=47, slow=152 |
8.1% | -58.0% | 0.53 | 0.14 | 65.5x | 83 | 67% |
| 볼린저 밴드 돌파 n=69, k=1.7 |
6.1% | -52.9% | 0.48 | 0.12 | 24.2x | 208 | 42% |
| Parabolic SAR step=0.005, maxStep=0.02 |
6.4% | -55.1% | 0.44 | 0.12 | 28.0x | 262 | 59% |
| Supertrend period=8, mult=4.4 |
5.8% | -74.4% | 0.42 | 0.08 | 20.2x | 303 | 55% |
| ADX / DI 방향성 period=39, threshold=17 |
3.7% | -44.1% | 0.36 | 0.08 | 6.9x | 192 | 30% |
| MACD fast=24, slow=43, signal=18 |
3.0% | -83.4% | 0.26 | 0.04 | 4.9x | 544 | 51% |
| Buy and hold | 10.9% | -69.1% | 0.54 | 0.16 | 256.4x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 58 days