Trend-Following Backtester · Guide · backtest 한국어
equity · US
Procter & Gamble Company (The) backtest
10 trend-following strategies were compared on the full daily history of Procter & Gamble Company (The). 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 8.1%, drawdown -54.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -47.8%, Sharpe 0.40, 76% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.9%, MDD -62.2%, exposure 93%.
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=33, exitN=70 |
5.4% | -47.8% | 0.40 | 0.11 | 19.9x | 115 | 76% |
| ROC 모멘텀 n=86, threshold=-0.11 |
5.9% | -62.2% | 0.39 | 0.09 | 25.1x | 177 | 93% |
| SMA 크로스오버 fast=52, slow=140 |
3.8% | -60.3% | 0.30 | 0.06 | 8.1x | 106 | 64% |
| EMA 크로스오버 fast=49, slow=216 |
3.6% | -64.9% | 0.29 | 0.06 | 7.6x | 86 | 72% |
| Supertrend period=9, mult=4.9 |
2.1% | -48.8% | 0.22 | 0.04 | 3.3x | 190 | 60% |
| ADX / DI 방향성 period=20, threshold=46 |
0.4% | -7.3% | 0.21 | 0.06 | 1.3x | 6 | 1% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
0.7% | -12.2% | 0.18 | 0.06 | 1.5x | 24 | 5% |
| MACD fast=27, slow=36, signal=32 |
-1.1% | -56.7% | -0.01 | -0.02 | 0.5x | 508 | 50% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-1.4% | -66.0% | -0.02 | -0.02 | 0.4x | 512 | 58% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=2 |
-1.4% | -69.9% | -0.05 | -0.02 | 0.4x | 346 | 42% |
| Buy and hold | 8.1% | -54.5% | 0.47 | 0.15 | 83.6x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 70 days