Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mohawk Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mohawk Industries, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.2%, MDD -35.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -83.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -35.2%, Sharpe 0.50, 35% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.4%, MDD -53.3%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 48.3%p (CAGR 8.2%, MDD -35.2%, exposure 35%).
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=128, exitN=39 |
8.2% | -35.2% | 0.50 | 0.23 | 15.1x | 51 | 35% |
| EMA 크로스오버 fast=8, slow=111 |
8.4% | -53.3% | 0.43 | 0.16 | 16.0x | 129 | 57% |
| SMA 크로스오버 fast=66, slow=189 |
8.1% | -51.8% | 0.43 | 0.16 | 14.8x | 51 | 55% |
| ROC 모멘텀 n=120, threshold=0.06 |
5.6% | -59.3% | 0.35 | 0.10 | 6.6x | 255 | 47% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
4.9% | -49.2% | 0.32 | 0.10 | 5.2x | 199 | 44% |
| Supertrend period=16, mult=3.7 |
4.9% | -59.7% | 0.31 | 0.08 | 5.2x | 181 | 55% |
| MACD fast=19, slow=31, signal=15 |
4.8% | -70.6% | 0.31 | 0.07 | 5.0x | 412 | 50% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=2.3 |
4.0% | -55.9% | 0.28 | 0.07 | 3.8x | 173 | 39% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.4% | -71.6% | 0.19 | 0.02 | 1.6x | 299 | 54% |
| ADX / DI 방향성 period=26, threshold=20 |
1.2% | -65.0% | 0.16 | 0.02 | 1.5x | 166 | 23% |
| Buy and hold | 8.9% | -83.4% | 0.41 | 0.11 | 18.7x | 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 128 days
- Sell — Sell when price breaks below the lowest low of the last 39 days