Trend-Following Backtester · Guide · backtest 한국어
equity · US
Standard Motor Products, Inc. backtest
10 trend-following strategies were compared on the full daily history of Standard Motor Products, Inc.. 3 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 10.2%, MDD -68.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -95.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -68.5%, Sharpe 0.46, 76% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 10.2%, MDD -68.5%, exposure 76%).
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=15, exitN=55 |
10.2% | -68.5% | 0.46 | 0.15 | 91.6x | 159 | 76% |
| SMA 크로스오버 fast=26, slow=83 |
6.9% | -81.2% | 0.38 | 0.08 | 22.1x | 148 | 55% |
| EMA 크로스오버 fast=12, slow=29 |
6.2% | -80.6% | 0.35 | 0.08 | 16.3x | 340 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=3.8 |
5.1% | -58.1% | 0.35 | 0.09 | 10.2x | 126 | 27% |
| ROC 모멘텀 n=24, threshold=-0.09 |
5.3% | -90.5% | 0.32 | 0.06 | 11.3x | 529 | 82% |
| Supertrend period=9, mult=3.4 |
5.3% | -68.9% | 0.32 | 0.08 | 10.9x | 310 | 56% |
| ADX / DI 방향성 period=29, threshold=25 |
3.0% | -36.6% | 0.30 | 0.08 | 4.0x | 78 | 11% |
| 볼린저 밴드 돌파 n=57, k=2 |
4.1% | -76.6% | 0.29 | 0.05 | 6.6x | 204 | 36% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.1% | -79.0% | 0.28 | 0.05 | 6.6x | 366 | 54% |
| MACD fast=27, slow=37, signal=38 |
3.9% | -82.3% | 0.28 | 0.05 | 6.0x | 370 | 53% |
| Buy and hold | 6.1% | -95.3% | 0.35 | 0.06 | 15.8x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 55 days