Trend-Following Backtester · Guide · backtest 한국어
equity · US
PPG Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of PPG Industries, 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 9.4%, drawdown -65.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -67.7%, Sharpe 0.35, 77% 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=19, exitN=58 |
5.5% | -67.7% | 0.35 | 0.08 | 11.7x | 145 | 77% |
| Supertrend period=24, mult=4.6 |
4.3% | -70.2% | 0.31 | 0.06 | 7.0x | 175 | 61% |
| SMA 크로스오버 fast=39, slow=169 |
4.0% | -65.6% | 0.29 | 0.06 | 6.1x | 75 | 64% |
| EMA 크로스오버 fast=29, slow=123 |
3.9% | -65.5% | 0.29 | 0.06 | 5.9x | 107 | 65% |
| ROC 모멘텀 n=76, threshold=-0.09 |
3.1% | -80.2% | 0.25 | 0.04 | 4.1x | 341 | 84% |
| 볼린저 밴드 돌파 n=20, k=3.4 |
0.5% | -16.5% | 0.13 | 0.03 | 1.2x | 22 | 2% |
| MACD fast=19, slow=57, signal=18 |
-0.1% | -73.1% | 0.08 | -0.00 | 0.9x | 492 | 50% |
| ADX / DI 방향성 period=33, threshold=14 |
-0.6% | -71.5% | 0.03 | -0.01 | 0.8x | 304 | 32% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=1.7 |
-1.0% | -80.3% | 0.02 | -0.01 | 0.6x | 330 | 46% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-4.5% | -94.8% | -0.14 | -0.05 | 0.1x | 826 | 54% |
| Buy and hold | 9.4% | -65.4% | 0.46 | 0.14 | 65.2x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 58 days