Trend-Following Backtester · Guide · backtest 한국어

equity · US

Quanex Building Products Corporation backtest

10 trend-following strategies were compared on the full daily history of Quanex Building Products Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 3.0%, drawdown -90.5%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.5%, MDD -93.3%, Sharpe 0.20, 85% exposure.

CAGR reference leader: ADX / DI 방향성 — CAGR 1.1%, MDD -60.8%, exposure 11%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=7, exitN=58
-0.5%-93.3%0.20-0.010.8x20985%
SMA 크로스오버
fast=67, slow=116
0.6%-85.4%0.190.011.3x12856%
ADX / DI 방향성
period=21, threshold=28
1.1%-60.8%0.150.021.7x10611%
Parabolic SAR
step=0.005, maxStep=0.14
-0.6%-93.6%0.15-0.010.7x35353%
EMA 크로스오버
fast=55, slow=61
-0.8%-92.0%0.15-0.010.7x12858%
Supertrend
period=22, mult=2.4
-1.4%-96.2%0.13-0.010.5x47754%
볼린저 밴드 돌파
n=33, k=2.8
0.6%-77.8%0.120.011.3x12817%
Keltner 채널 돌파
emaPeriod=22, atrPeriod=19, mult=2.5
0.3%-73.5%0.110.001.1x22621%
ROC 모멘텀
n=82, threshold=0.14
-0.6%-79.5%0.09-0.010.8x47230%
MACD
fast=14, slow=42, signal=19
-3.5%-96.5%0.06-0.040.2x57551%
Buy and hold3.0%-90.5%0.300.033.9x1100%
1x 10x 1981 1987 1993 1999 2005 2011 2017 2023 ADX / DI 방향성Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), ADX / DI 방향성 (CAGR reference), Buy and hold.
0% -23% -47% -70% -93% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdADX / DI 방향성Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -93.3% (2005-03-08 → 2026-07-08), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next