Trend-Following Backtester · Guide · backtest 한국어
equity · US
W.W. Grainger, Inc. backtest
10 trend-following strategies were compared on the full daily history of W.W. Grainger, 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 11.2%, drawdown -65.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -64.2%, Sharpe 0.40, 87% 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=10, exitN=72 |
6.9% | -64.2% | 0.40 | 0.11 | 35.5x | 179 | 87% |
| ROC 모멘텀 n=75, threshold=-0.09 |
6.5% | -53.1% | 0.39 | 0.12 | 28.9x | 333 | 84% |
| MACD fast=28, slow=64, signal=31 |
4.7% | -52.7% | 0.34 | 0.09 | 11.6x | 364 | 52% |
| SMA 크로스오버 fast=58, slow=255 |
3.6% | -54.2% | 0.28 | 0.07 | 6.8x | 75 | 67% |
| 볼린저 밴드 돌파 n=59, k=0.8 |
3.2% | -47.7% | 0.27 | 0.07 | 5.4x | 390 | 51% |
| Supertrend period=15, mult=3.9 |
3.1% | -47.0% | 0.25 | 0.07 | 5.1x | 340 | 58% |
| EMA 크로스오버 fast=31, slow=34 |
2.9% | -58.0% | 0.24 | 0.05 | 4.6x | 248 | 61% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=23, mult=1.7 |
1.4% | -64.5% | 0.17 | 0.02 | 2.1x | 348 | 51% |
| Parabolic SAR step=0.01, maxStep=0.18 |
0.2% | -73.1% | 0.11 | 0.00 | 1.1x | 722 | 55% |
| ADX / DI 방향성 period=26, threshold=5 |
-1.5% | -79.2% | 0.02 | -0.02 | 0.4x | 861 | 57% |
| Buy and hold | 11.2% | -65.4% | 0.52 | 0.17 | 286.6x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 72 days