Trend-Following Backtester · Guide · backtest 한국어
equity · US
JELD-WEN Holding, Inc. backtest
10 trend-following strategies were compared on the full daily history of JELD-WEN Holding, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -5.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.4%, drawdown -97.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.7%, MDD -5.4%, Sharpe 0.49, 2% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 29.1%p higher than buy and hold, while drawdown improves by 92.3%p (CAGR 2.7%, MDD -5.4%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=16, mult=3.1 |
2.7% | -5.4% | 0.49 | 0.50 | 1.3x | 2 | 2% |
| 볼린저 밴드 돌파 n=15, k=3 |
2.4% | -15.2% | 0.33 | 0.16 | 1.3x | 10 | 4% |
| ADX / DI 방향성 period=14, threshold=46 |
0.8% | -9.6% | 0.22 | 0.09 | 1.1x | 6 | 2% |
| ROC 모멘텀 n=14, threshold=0.02 |
-1.4% | -78.3% | 0.15 | -0.02 | 0.9x | 249 | 42% |
| Supertrend period=9, mult=2.9 |
-2.5% | -61.4% | 0.14 | -0.04 | 0.8x | 70 | 47% |
| MACD fast=13, slow=51, signal=10 |
-2.9% | -83.7% | 0.14 | -0.03 | 0.8x | 145 | 49% |
| SMA 크로스오버 fast=8, slow=159 |
-1.8% | -42.1% | 0.07 | -0.04 | 0.8x | 18 | 35% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-5.9% | -79.9% | 0.04 | -0.07 | 0.6x | 161 | 48% |
| Donchian 채널 돌파 entryN=69, exitN=25 |
-2.3% | -44.7% | 0.01 | -0.05 | 0.8x | 20 | 26% |
| EMA 크로스오버 fast=30, slow=41 |
-5.5% | -71.7% | -0.01 | -0.08 | 0.6x | 34 | 43% |
| Buy and hold | -26.4% | -97.7% | -0.18 | -0.27 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average