Trend-Following Backtester · Guide · backtest 한국어
equity · US
MSC Industrial Direct Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of MSC Industrial Direct Company, 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 7.7%, drawdown -76.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.4%, MDD -69.3%, Sharpe 0.29, 68% 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=51, exitN=91 |
4.4% | -69.3% | 0.29 | 0.06 | 3.8x | 51 | 68% |
| SMA 크로스오버 fast=59, slow=99 |
3.7% | -59.9% | 0.27 | 0.06 | 3.0x | 91 | 56% |
| EMA 크로스오버 fast=65, slow=88 |
3.1% | -60.4% | 0.25 | 0.05 | 2.6x | 55 | 61% |
| MACD fast=19, slow=54, signal=17 |
2.6% | -64.6% | 0.23 | 0.04 | 2.2x | 320 | 51% |
| Supertrend period=17, mult=5 |
2.2% | -64.2% | 0.21 | 0.03 | 2.0x | 111 | 54% |
| ADX / DI 방향성 period=28, threshold=37 |
0.4% | -4.7% | 0.21 | 0.08 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.0% | -77.3% | 0.16 | 0.01 | 1.3x | 264 | 54% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=21, mult=3.7 |
0.8% | -39.1% | 0.13 | 0.02 | 1.3x | 82 | 21% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
0.3% | -49.9% | 0.10 | 0.01 | 1.1x | 110 | 28% |
| ROC 모멘텀 n=127, threshold=-0.02 |
-1.3% | -81.9% | 0.07 | -0.02 | 0.7x | 277 | 62% |
| Buy and hold | 7.7% | -76.6% | 0.39 | 0.10 | 9.8x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 91 days