Trend-Following Backtester · Guide · backtest 한국어
equity · US
Howmet Aerospace Inc. backtest
10 trend-following strategies were compared on the full daily history of Howmet Aerospace Inc.. 0 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 31.9%, MDD -39.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 33.2%, drawdown -64.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 31.9%, MDD -39.9%, Sharpe 1.06, 78% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 24.9%p (CAGR 31.9%, MDD -39.9%, exposure 78%).
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=30, exitN=63 |
31.9% | -39.9% | 1.06 | 0.80 | 15.3x | 17 | 78% |
| EMA 크로스오버 fast=14, slow=50 |
28.2% | -36.5% | 1.00 | 0.77 | 11.5x | 40 | 72% |
| ROC 모멘텀 n=77, threshold=-0.04 |
25.6% | -36.7% | 0.93 | 0.70 | 9.4x | 65 | 78% |
| SMA 크로스오버 fast=51, slow=84 |
23.5% | -38.9% | 0.88 | 0.60 | 8.0x | 19 | 71% |
| Supertrend period=25, mult=4.8 |
19.0% | -34.0% | 0.76 | 0.56 | 5.5x | 35 | 68% |
| ADX / DI 방향성 period=28, threshold=9 |
13.7% | -34.0% | 0.62 | 0.40 | 3.5x | 124 | 62% |
| Parabolic SAR step=0.005, maxStep=0.34 |
14.7% | -42.8% | 0.61 | 0.34 | 3.9x | 86 | 61% |
| MACD fast=11, slow=23, signal=15 |
13.8% | -43.3% | 0.61 | 0.32 | 3.6x | 166 | 49% |
| 볼린저 밴드 돌파 n=37, k=1.2 |
11.3% | -43.5% | 0.56 | 0.26 | 2.9x | 92 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=15, mult=2.9 |
7.3% | -36.6% | 0.56 | 0.20 | 2.0x | 34 | 23% |
| Buy and hold | 33.2% | -64.8% | 0.93 | 0.51 | 16.8x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 63 days