Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rogers Corporation backtest
10 trend-following strategies were compared on the full daily history of Rogers Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -52.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -80.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -71.5%, Sharpe 0.38, 74% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 9.3%p (CAGR 6.6%, MDD -52.2%, exposure 55%).
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=26, exitN=75 |
7.1% | -71.5% | 0.38 | 0.10 | 24.5x | 121 | 74% |
| SMA 크로스오버 fast=50, slow=82 |
6.6% | -52.2% | 0.37 | 0.13 | 19.3x | 159 | 55% |
| 볼린저 밴드 돌파 n=80, k=1.4 |
5.8% | -54.7% | 0.36 | 0.11 | 13.8x | 182 | 42% |
| Supertrend period=13, mult=4.1 |
6.2% | -56.7% | 0.36 | 0.11 | 16.4x | 258 | 57% |
| EMA 크로스오버 fast=28, slow=179 |
6.0% | -71.6% | 0.35 | 0.08 | 14.7x | 85 | 52% |
| ROC 모멘텀 n=148, threshold=-0.04 |
5.1% | -78.3% | 0.32 | 0.06 | 9.9x | 339 | 59% |
| ADX / DI 방향성 period=37, threshold=21 |
2.6% | -49.8% | 0.25 | 0.05 | 3.3x | 110 | 17% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=2.5 |
3.1% | -69.5% | 0.25 | 0.04 | 4.1x | 238 | 39% |
| MACD fast=22, slow=52, signal=53 |
2.8% | -59.6% | 0.24 | 0.05 | 3.7x | 296 | 51% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-0.6% | -80.3% | 0.11 | -0.01 | 0.8x | 742 | 52% |
| Buy and hold | 7.2% | -80.8% | 0.37 | 0.09 | 24.7x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 75 days