Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stifel Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Stifel Financial Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.3%, MDD -49.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -78.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -49.0%, Sharpe 0.45, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 29.4%p (CAGR 9.3%, MDD -49.0%, exposure 61%).
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=54, exitN=65 |
9.3% | -49.0% | 0.45 | 0.19 | 46.7x | 83 | 61% |
| SMA 크로스오버 fast=58, slow=108 |
5.8% | -78.7% | 0.34 | 0.07 | 11.3x | 117 | 59% |
| ROC 모멘텀 n=88, threshold=-0.04 |
5.3% | -72.4% | 0.32 | 0.07 | 9.1x | 413 | 68% |
| EMA 크로스오버 fast=55, slow=198 |
4.1% | -68.6% | 0.28 | 0.06 | 5.5x | 63 | 63% |
| Supertrend period=15, mult=4.9 |
3.1% | -62.2% | 0.25 | 0.05 | 3.8x | 193 | 56% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
3.0% | -61.9% | 0.24 | 0.05 | 3.6x | 239 | 42% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.2% | -69.2% | 0.17 | 0.02 | 1.6x | 338 | 52% |
| ADX / DI 방향성 period=36, threshold=37 |
0.6% | -23.4% | 0.17 | 0.03 | 1.3x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=1.6 |
1.2% | -66.9% | 0.17 | 0.02 | 1.7x | 321 | 44% |
| MACD fast=18, slow=34, signal=19 |
-0.3% | -83.5% | 0.12 | -0.00 | 0.9x | 524 | 52% |
| Buy and hold | 9.8% | -78.4% | 0.43 | 0.13 | 56.5x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 65 days