Trend-Following Backtester · Guide · backtest 한국어
equity · US
Park Aerospace Corp. backtest
10 trend-following strategies were compared on the full daily history of Park Aerospace Corp.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -79.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.1%, MDD -74.6%, Sharpe 0.40, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 97% entryN=1, exitN=168 |
8.1% | -74.6% | 0.40 | 0.11 | 37.8x | 201 | 97% |
| 볼린저 밴드 돌파 n=67, k=3.5 |
3.9% | -44.8% | 0.34 | 0.09 | 6.0x | 46 | 14% |
| SMA 크로스오버 fast=30, slow=113 |
5.6% | -93.9% | 0.34 | 0.06 | 12.6x | 117 | 56% |
| EMA 크로스오버 fast=53, slow=71 |
4.2% | -93.1% | 0.29 | 0.05 | 6.8x | 109 | 55% |
| ADX / DI 방향성 period=36, threshold=27 |
1.8% | -45.5% | 0.23 | 0.04 | 2.3x | 40 | 5% |
| Supertrend period=17, mult=5 |
1.5% | -95.4% | 0.19 | 0.02 | 2.0x | 187 | 54% |
| ROC 모멘텀 n=133, threshold=0.07 |
1.1% | -96.4% | 0.17 | 0.01 | 1.6x | 413 | 43% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=3.2 |
1.0% | -91.2% | 0.15 | 0.01 | 1.6x | 174 | 27% |
| MACD fast=15, slow=28, signal=13 |
-0.9% | -95.0% | 0.10 | -0.01 | 0.7x | 696 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.9% | -96.6% | 0.02 | -0.03 | 0.3x | 581 | 51% |
| Buy and hold | 7.8% | -79.3% | 0.39 | 0.10 | 32.5x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 168 days