Trend-Following Backtester · Guide · backtest 한국어
equity · US
Douglas Dynamics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Douglas Dynamics, Inc.. 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 8.2%, drawdown -62.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -60.9%, Sharpe 0.31, 85% exposure.
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=11, exitN=69 |
4.8% | -60.9% | 0.31 | 0.08 | 2.1x | 45 | 85% |
| SMA 크로스오버 fast=46, slow=58 |
2.2% | -56.0% | 0.21 | 0.04 | 1.4x | 114 | 55% |
| EMA 크로스오버 fast=59, slow=96 |
0.8% | -65.3% | 0.15 | 0.01 | 1.1x | 33 | 57% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-1.0% | -64.8% | 0.07 | -0.01 | 0.9x | 293 | 53% |
| ROC 모멘텀 n=140, threshold=0.06 |
-0.8% | -54.5% | 0.07 | -0.02 | 0.9x | 142 | 46% |
| Supertrend period=13, mult=1.6 |
-1.7% | -58.2% | 0.04 | -0.03 | 0.8x | 262 | 53% |
| MACD fast=14, slow=18, signal=6 |
-2.5% | -54.6% | 0.00 | -0.05 | 0.7x | 361 | 50% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=27, mult=3.5 |
-1.6% | -41.6% | -0.06 | -0.04 | 0.8x | 44 | 16% |
| 볼린저 밴드 돌파 n=29, k=1.3 |
-3.0% | -64.3% | -0.06 | -0.05 | 0.6x | 166 | 39% |
| ADX / DI 방향성 period=48, threshold=23 |
-1.2% | -24.3% | -0.09 | -0.05 | 0.8x | 10 | 5% |
| Buy and hold | 8.2% | -62.0% | 0.40 | 0.13 | 3.6x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 69 days