Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lowe's Companies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lowe's Companies, 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 14.0%, drawdown -62.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -70.6%, Sharpe 0.41, 56% 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=17, exitN=16 |
7.2% | -70.6% | 0.41 | 0.10 | 25.7x | 316 | 56% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
3.5% | -24.2% | 0.41 | 0.14 | 4.9x | 50 | 9% |
| Supertrend period=12, mult=4.2 |
6.9% | -70.1% | 0.40 | 0.10 | 21.9x | 222 | 56% |
| EMA 크로스오버 fast=27, slow=28 |
6.6% | -70.5% | 0.38 | 0.09 | 19.3x | 242 | 60% |
| ROC 모멘텀 n=123, threshold=-0.15 |
6.9% | -77.0% | 0.37 | 0.09 | 22.3x | 248 | 86% |
| ADX / DI 방향성 period=28, threshold=25 |
3.4% | -36.0% | 0.36 | 0.09 | 4.7x | 74 | 12% |
| SMA 크로스오버 fast=8, slow=63 |
5.9% | -74.9% | 0.36 | 0.08 | 14.3x | 262 | 59% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=4 |
2.6% | -61.9% | 0.25 | 0.04 | 3.3x | 128 | 23% |
| MACD fast=14, slow=42, signal=15 |
3.0% | -69.5% | 0.24 | 0.04 | 4.0x | 626 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.4% | -78.6% | 0.22 | 0.03 | 3.0x | 401 | 55% |
| Buy and hold | 14.0% | -62.7% | 0.55 | 0.22 | 438.1x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 16 days