Trend-Following Backtester · Guide · backtest 한국어
equity · US
Quaker Houghton backtest
10 trend-following strategies were compared on the full daily history of Quaker Houghton. 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 7.8%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -58.0%, Sharpe 0.32, 78% 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=44, exitN=131 |
5.4% | -58.0% | 0.32 | 0.09 | 11.5x | 63 | 78% |
| SMA 크로스오버 fast=54, slow=209 |
3.7% | -69.6% | 0.27 | 0.05 | 5.3x | 65 | 60% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.6% | -88.6% | 0.23 | 0.03 | 3.3x | 707 | 53% |
| Supertrend period=7, mult=4.8 |
0.7% | -77.1% | 0.16 | 0.01 | 1.4x | 157 | 56% |
| EMA 크로스오버 fast=51, slow=224 |
0.4% | -78.4% | 0.15 | 0.00 | 1.2x | 67 | 63% |
| ADX / DI 방향성 period=8, threshold=37 |
-0.7% | -86.4% | 0.05 | -0.01 | 0.7x | 506 | 22% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
0.1% | -34.4% | 0.05 | 0.00 | 1.0x | 52 | 6% |
| ROC 모멘텀 n=147, threshold=-0.1 |
-3.5% | -97.2% | 0.05 | -0.04 | 0.2x | 327 | 77% |
| MACD fast=38, slow=58, signal=29 |
-3.0% | -92.7% | 0.03 | -0.03 | 0.2x | 351 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=14, mult=2 |
-2.6% | -81.0% | -0.03 | -0.03 | 0.3x | 284 | 31% |
| Buy and hold | 7.8% | -85.8% | 0.39 | 0.09 | 33.1x | 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 44 days
- Sell — Sell when price breaks below the lowest low of the last 131 days