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.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.1%, drawdown -90.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.4%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=7, exitN=58 |
-0.4% | -93.3% | 0.20 | -0.00 | 0.8x | 209 | 85% |
| SMA 크로스오버 fast=67, slow=116 |
0.6% | -85.4% | 0.19 | 0.01 | 1.3x | 128 | 56% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.4% | -93.6% | 0.16 | -0.00 | 0.8x | 354 | 53% |
| ADX / DI 방향성 period=21, threshold=28 |
1.1% | -60.8% | 0.15 | 0.02 | 1.7x | 106 | 11% |
| EMA 크로스오버 fast=55, slow=61 |
-1.0% | -92.4% | 0.14 | -0.01 | 0.6x | 129 | 58% |
| Supertrend period=22, mult=2.4 |
-1.2% | -96.2% | 0.14 | -0.01 | 0.6x | 478 | 54% |
| 볼린저 밴드 돌파 n=33, k=2.8 |
0.4% | -77.8% | 0.11 | 0.01 | 1.2x | 130 | 17% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=19, mult=2.5 |
0.1% | -73.5% | 0.10 | 0.00 | 1.1x | 228 | 21% |
| ROC 모멘텀 n=82, threshold=0.14 |
-0.6% | -79.5% | 0.08 | -0.01 | 0.7x | 476 | 30% |
| MACD fast=14, slow=42, signal=19 |
-3.3% | -96.5% | 0.07 | -0.03 | 0.2x | 576 | 51% |
| Buy and hold | 3.1% | -90.5% | 0.31 | 0.03 | 4.2x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 58 days