Trend-Following Backtester · Guide · backtest 한국어
equity · US
Altria Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Altria Group, Inc.. 1 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 9.9%, MDD -51.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.6%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -51.3%, Sharpe 0.53, 86% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 9.9%, MDD -51.3%, exposure 86%).
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=18, exitN=97 |
9.9% | -51.3% | 0.53 | 0.19 | 210.9x | 109 | 86% |
| EMA 크로스오버 fast=52, slow=187 |
8.8% | -56.9% | 0.53 | 0.15 | 117.7x | 65 | 69% |
| SMA 크로스오버 fast=15, slow=141 |
7.1% | -55.3% | 0.45 | 0.13 | 49.7x | 145 | 64% |
| Supertrend period=21, mult=4.4 |
6.6% | -60.2% | 0.45 | 0.11 | 36.8x | 223 | 57% |
| ROC 모멘텀 n=171, threshold=-0.07 |
6.7% | -79.2% | 0.41 | 0.08 | 38.2x | 235 | 79% |
| 볼린저 밴드 돌파 n=41, k=2.5 |
4.2% | -44.5% | 0.40 | 0.09 | 10.2x | 176 | 25% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=3.1 |
3.8% | -40.1% | 0.36 | 0.09 | 8.0x | 210 | 29% |
| ADX / DI 방향성 period=41, threshold=17 |
2.4% | -45.9% | 0.27 | 0.05 | 3.7x | 150 | 19% |
| MACD fast=28, slow=48, signal=23 |
2.0% | -58.0% | 0.20 | 0.03 | 3.0x | 484 | 52% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-3.8% | -92.7% | -0.06 | -0.04 | 0.1x | 986 | 55% |
| Buy and hold | 9.6% | -83.8% | 0.49 | 0.11 | 181.3x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 97 days