Trend-Following Backtester · Guide · backtest 한국어
equity · US
Schneider National, Inc. backtest
10 trend-following strategies were compared on the full daily history of Schneider National, Inc.. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.7%, MDD -31.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.5%, drawdown -45.1%).
Sharpe leader (same as main): MACD — CAGR 10.0%, MDD -32.9%, Sharpe 0.54, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 12.2%p (CAGR 6.7%, MDD -31.1%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=25, slow=53, signal=13 |
10.0% | -32.9% | 0.54 | 0.30 | 2.5x | 90 | 49% |
| SMA 크로스오버 fast=12, slow=63 |
8.6% | -33.6% | 0.49 | 0.26 | 2.2x | 42 | 53% |
| Supertrend period=10, mult=3.6 |
7.7% | -38.5% | 0.45 | 0.20 | 2.0x | 41 | 52% |
| EMA 크로스오버 fast=16, slow=39 |
6.6% | -41.9% | 0.40 | 0.16 | 1.8x | 50 | 54% |
| Donchian 채널 돌파 entryN=20, exitN=60 |
6.7% | -31.1% | 0.38 | 0.22 | 1.8x | 25 | 77% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.1 |
6.7% | -45.4% | 0.36 | 0.15 | 1.8x | 11 | 99% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=33, mult=1.4 |
4.3% | -29.1% | 0.32 | 0.15 | 1.5x | 58 | 39% |
| 볼린저 밴드 돌파 n=39, k=1.1 |
4.4% | -33.3% | 0.31 | 0.13 | 1.5x | 76 | 44% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.9% | -42.9% | 0.08 | -0.02 | 0.9x | 88 | 53% |
| ADX / DI 방향성 period=28, threshold=13 |
-2.4% | -40.2% | -0.05 | -0.06 | 0.8x | 86 | 35% |
| Buy and hold | 6.5% | -45.1% | 0.36 | 0.14 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (25/53) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line