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.. 1 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 9.9%, MDD -68.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.2%, drawdown -95.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -68.2%, Sharpe 0.45, 72% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 9.9%, MDD -68.2%, exposure 72%).
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=42 |
9.9% | -68.2% | 0.45 | 0.14 | 78.5x | 193 | 72% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=4 |
5.3% | -58.0% | 0.36 | 0.09 | 10.8x | 112 | 25% |
| EMA 크로스오버 fast=14, slow=60 |
6.1% | -79.7% | 0.35 | 0.08 | 15.8x | 217 | 54% |
| SMA 크로스오버 fast=6, slow=79 |
6.1% | -78.3% | 0.35 | 0.08 | 15.3x | 265 | 54% |
| Supertrend period=8, mult=3.4 |
5.5% | -67.6% | 0.33 | 0.08 | 12.0x | 305 | 56% |
| ROC 모멘텀 n=124, threshold=0.26 |
4.4% | -70.5% | 0.32 | 0.06 | 7.3x | 234 | 21% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.2% | -79.0% | 0.29 | 0.05 | 6.7x | 365 | 55% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
3.5% | -59.1% | 0.27 | 0.06 | 4.8x | 132 | 25% |
| ADX / DI 방향성 period=27, threshold=24 |
2.8% | -36.2% | 0.27 | 0.08 | 3.6x | 110 | 14% |
| MACD fast=19, slow=41, signal=18 |
0.6% | -89.0% | 0.17 | 0.01 | 1.3x | 527 | 52% |
| Buy and hold | 6.2% | -95.3% | 0.35 | 0.07 | 16.3x | 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 42 days