Trend-Following Backtester · Guide · backtest 한국어
equity · US
Illinois Tool Works Inc. backtest
10 trend-following strategies were compared on the full daily history of Illinois Tool Works 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 10.8%, drawdown -56.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -55.6%, Sharpe 0.38, 85% 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=14, exitN=71 |
6.4% | -55.6% | 0.38 | 0.11 | 27.4x | 163 | 85% |
| EMA 크로스오버 fast=22, slow=185 |
5.0% | -54.1% | 0.34 | 0.09 | 13.4x | 109 | 68% |
| SMA 크로스오버 fast=44, slow=186 |
4.6% | -59.9% | 0.32 | 0.08 | 11.1x | 81 | 65% |
| Supertrend period=24, mult=4.2 |
3.0% | -60.3% | 0.25 | 0.05 | 5.0x | 283 | 60% |
| ROC 모멘텀 n=125, threshold=-0.04 |
2.2% | -67.6% | 0.21 | 0.03 | 3.2x | 411 | 73% |
| ADX / DI 방향성 period=24, threshold=44 |
0.3% | -11.2% | 0.17 | 0.02 | 1.2x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=101, atrPeriod=17, mult=1.3 |
1.3% | -61.8% | 0.16 | 0.02 | 2.0x | 341 | 56% |
| MACD fast=21, slow=44, signal=18 |
0.4% | -66.5% | 0.11 | 0.01 | 1.2x | 582 | 50% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
0.2% | -21.0% | 0.08 | 0.01 | 1.1x | 32 | 3% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.6% | -70.6% | 0.06 | -0.01 | 0.7x | 470 | 54% |
| Buy and hold | 10.8% | -56.7% | 0.51 | 0.19 | 246.1x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 71 days