Trend-Following Backtester · Guide · backtest 한국어
equity · US
Generac Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Generac Holdings Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.1%, MDD -43.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.5%, drawdown -83.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.9%, MDD -44.7%, Sharpe 0.76, 48% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.3%, MDD -55.4%, exposure 77%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 19.1%, MDD -43.1%, exposure 62%).
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=60, exitN=35 |
18.9% | -44.7% | 0.76 | 0.42 | 17.6x | 36 | 48% |
| SMA 크로스오버 fast=28, slow=170 |
19.1% | -43.1% | 0.70 | 0.44 | 18.1x | 32 | 62% |
| ROC 모멘텀 n=148, threshold=-0.12 |
20.3% | -55.4% | 0.69 | 0.37 | 21.4x | 57 | 77% |
| EMA 크로스오버 fast=50, slow=183 |
18.1% | -45.8% | 0.66 | 0.40 | 15.7x | 17 | 66% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
13.3% | -35.9% | 0.62 | 0.37 | 7.8x | 58 | 37% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=9, mult=1.2 |
12.1% | -40.8% | 0.54 | 0.30 | 6.6x | 92 | 53% |
| Supertrend period=7, mult=5 |
11.3% | -52.3% | 0.50 | 0.22 | 5.9x | 56 | 58% |
| Parabolic SAR step=0.015, maxStep=0.04 |
8.0% | -66.1% | 0.40 | 0.12 | 3.6x | 174 | 56% |
| MACD fast=14, slow=29, signal=18 |
7.9% | -62.7% | 0.40 | 0.13 | 3.5x | 224 | 51% |
| ADX / DI 방향성 period=25, threshold=24 |
4.2% | -36.4% | 0.33 | 0.12 | 2.0x | 48 | 17% |
| Buy and hold | 17.5% | -83.7% | 0.59 | 0.21 | 14.4x | 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 60 days
- Sell — Sell when price breaks below the lowest low of the last 35 days