Trend-Following Backtester · Guide · backtest 한국어
equity · US
Methode Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Methode Electronics, 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 9.1%, drawdown -90.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -90.4%, Sharpe 0.34, 85% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.6%, MDD -69.1%, exposure 56%.
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=101 |
4.9% | -90.4% | 0.34 | 0.05 | 8.0x | 105 | 85% |
| SMA 크로스오버 fast=26, slow=197 |
5.6% | -69.1% | 0.33 | 0.08 | 10.9x | 77 | 56% |
| EMA 크로스오버 fast=44, slow=167 |
5.4% | -77.2% | 0.32 | 0.07 | 9.8x | 67 | 56% |
| ROC 모멘텀 n=193, threshold=-0.09 |
2.2% | -87.1% | 0.26 | 0.02 | 2.5x | 303 | 68% |
| Supertrend period=29, mult=4.9 |
2.0% | -90.0% | 0.24 | 0.02 | 2.4x | 122 | 55% |
| ADX / DI 방향성 period=30, threshold=16 |
1.8% | -89.9% | 0.21 | 0.02 | 2.2x | 253 | 39% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-0.1% | -97.6% | 0.19 | -0.00 | 0.9x | 638 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=4 |
1.1% | -64.4% | 0.15 | 0.02 | 1.6x | 60 | 12% |
| MACD fast=15, slow=19, signal=16 |
-3.4% | -98.1% | 0.11 | -0.03 | 0.2x | 704 | 51% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
-0.9% | -89.8% | 0.09 | -0.01 | 0.7x | 124 | 26% |
| Buy and hold | 9.1% | -90.0% | 0.43 | 0.10 | 45.8x | 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 101 days