Trend-Following Backtester · Guide · backtest 한국어
equity · US
Global Industrial Company backtest
10 trend-following strategies were compared on the full daily history of Global Industrial Company. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.8%, MDD -42.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.9%, drawdown -98.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.8%, MDD -42.2%, Sharpe 0.39, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.9%, MDD -69.7%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR 5.8%, MDD -42.2%, exposure 14%).
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=90, exitN=5 |
5.8% | -42.2% | 0.39 | 0.14 | 5.7x | 129 | 14% |
| SMA 크로스오버 fast=55, slow=84 |
7.9% | -69.7% | 0.39 | 0.11 | 10.6x | 104 | 50% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
5.4% | -43.8% | 0.35 | 0.12 | 5.1x | 38 | 9% |
| Supertrend period=18, mult=2.8 |
4.3% | -77.1% | 0.30 | 0.06 | 3.7x | 235 | 49% |
| ROC 모멘텀 n=104, threshold=0.21 |
4.3% | -63.6% | 0.29 | 0.07 | 3.8x | 226 | 26% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.1 |
4.3% | -77.8% | 0.29 | 0.06 | 3.7x | 97 | 26% |
| EMA 크로스오버 fast=28, slow=159 |
3.0% | -79.2% | 0.26 | 0.04 | 2.5x | 69 | 46% |
| ADX / DI 방향성 period=24, threshold=14 |
1.4% | -73.5% | 0.20 | 0.02 | 1.5x | 310 | 33% |
| MACD fast=10, slow=31, signal=16 |
-2.9% | -95.3% | 0.12 | -0.03 | 0.4x | 473 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-3.9% | -94.9% | 0.09 | -0.04 | 0.3x | 501 | 48% |
| Buy and hold | 1.9% | -98.1% | 0.32 | 0.02 | 1.8x | 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 90 days
- Sell — Sell when price breaks below the lowest low of the last 5 days