Trend-Following Backtester · Guide · backtest 한국어
equity · US
SPX Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of SPX Technologies, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.3%, drawdown -81.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -68.8%, Sharpe 0.53, 78% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=20, exitN=66 |
12.1% | -68.8% | 0.53 | 0.18 | 200.6x | 124 | 78% |
| ROC 모멘텀 n=60, threshold=-0.11 |
10.1% | -77.4% | 0.47 | 0.13 | 88.8x | 326 | 82% |
| Supertrend period=27, mult=3.4 |
8.2% | -69.5% | 0.44 | 0.12 | 38.3x | 316 | 55% |
| EMA 크로스오버 fast=13, slow=146 |
7.9% | -80.1% | 0.42 | 0.10 | 33.6x | 142 | 64% |
| SMA 크로스오버 fast=52, slow=176 |
7.7% | -69.8% | 0.41 | 0.11 | 30.9x | 61 | 65% |
| MACD fast=37, slow=64, signal=24 |
5.4% | -68.9% | 0.34 | 0.08 | 11.6x | 338 | 51% |
| 볼린저 밴드 돌파 n=46, k=1.3 |
4.1% | -70.8% | 0.29 | 0.06 | 6.4x | 320 | 45% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=12, mult=1.7 |
3.7% | -83.3% | 0.27 | 0.04 | 5.4x | 304 | 48% |
| Parabolic SAR step=0.01, maxStep=0.3 |
2.1% | -82.2% | 0.21 | 0.03 | 2.6x | 607 | 53% |
| ADX / DI 방향성 period=21, threshold=12 |
1.6% | -80.2% | 0.19 | 0.02 | 2.1x | 650 | 49% |
| Buy and hold | 11.3% | -81.2% | 0.47 | 0.14 | 146.3x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 66 days