Trend-Following Backtester · Guide · backtest 한국어
equity · US
Packaging Corporation of America backtest
10 trend-following strategies were compared on the full daily history of Packaging Corporation of America. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.4%, MDD -46.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -69.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -52.9%, Sharpe 0.48, 84% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 16.3%p (CAGR 9.4%, MDD -46.3%, exposure 87%).
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=21, exitN=66 |
9.8% | -52.9% | 0.48 | 0.19 | 12.0x | 57 | 84% |
| ROC 모멘텀 n=87, threshold=-0.11 |
9.4% | -46.3% | 0.47 | 0.20 | 10.9x | 145 | 87% |
| EMA 크로스오버 fast=50, slow=167 |
8.3% | -37.5% | 0.47 | 0.22 | 8.2x | 35 | 70% |
| SMA 크로스오버 fast=57, slow=218 |
7.9% | -41.6% | 0.46 | 0.19 | 7.4x | 31 | 67% |
| Supertrend period=18, mult=5 |
4.6% | -56.7% | 0.31 | 0.08 | 3.3x | 75 | 62% |
| Keltner 채널 돌파 emaPeriod=181, atrPeriod=27, mult=2.7 |
2.7% | -44.6% | 0.24 | 0.06 | 2.0x | 69 | 52% |
| ADX / DI 방향성 period=42, threshold=24 |
0.5% | -9.6% | 0.21 | 0.06 | 1.2x | 4 | 2% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
-0.8% | -69.1% | 0.04 | -0.01 | 0.8x | 145 | 44% |
| MACD fast=17, slow=38, signal=15 |
-3.0% | -73.6% | -0.03 | -0.04 | 0.5x | 353 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-5.3% | -81.1% | -0.15 | -0.07 | 0.2x | 499 | 55% |
| Buy and hold | 12.0% | -69.2% | 0.52 | 0.17 | 20.4x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 66 days