Trend-Following Backtester · Guide · backtest 한국어
equity · US
L3Harris Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of L3Harris Technologies, 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 7.8%, drawdown -72.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -60.6%, Sharpe 0.34, 80% 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=20, exitN=68 |
5.7% | -60.6% | 0.34 | 0.09 | 11.6x | 118 | 80% |
| Supertrend period=4, mult=4.2 |
4.3% | -60.3% | 0.30 | 0.07 | 6.5x | 222 | 60% |
| SMA 크로스오버 fast=55, slow=228 |
4.0% | -66.9% | 0.29 | 0.06 | 5.7x | 58 | 62% |
| ROC 모멘텀 n=182, threshold=-0.11 |
4.1% | -71.0% | 0.29 | 0.06 | 6.0x | 209 | 80% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=24, mult=1.2 |
1.9% | -64.2% | 0.19 | 0.03 | 2.3x | 304 | 54% |
| EMA 크로스오버 fast=43, slow=206 |
1.6% | -73.7% | 0.18 | 0.02 | 2.0x | 76 | 66% |
| 볼린저 밴드 돌파 n=33, k=1.4 |
0.4% | -57.8% | 0.11 | 0.01 | 1.2x | 402 | 44% |
| ADX / DI 방향성 period=34, threshold=16 |
0.3% | -59.1% | 0.09 | 0.00 | 1.1x | 198 | 28% |
| MACD fast=21, slow=33, signal=15 |
-1.4% | -77.2% | 0.04 | -0.02 | 0.5x | 565 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.8% | -67.3% | 0.02 | -0.03 | 0.4x | 390 | 56% |
| Buy and hold | 7.8% | -72.5% | 0.40 | 0.11 | 28.4x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 68 days