Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stewart Information Services Corporation backtest
10 trend-following strategies were compared on the full daily history of Stewart Information Services Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -88.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -57.3%, Sharpe 0.33, 38% 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=102, exitN=49 |
4.8% | -57.3% | 0.33 | 0.08 | 12.3x | 90 | 38% |
| EMA 크로스오버 fast=58, slow=102 |
4.7% | -66.3% | 0.30 | 0.07 | 11.7x | 97 | 56% |
| ADX / DI 방향성 period=39, threshold=29 |
3.3% | -65.7% | 0.26 | 0.05 | 5.5x | 38 | 17% |
| SMA 크로스오버 fast=31, slow=200 |
3.2% | -69.9% | 0.25 | 0.05 | 5.5x | 94 | 56% |
| 볼린저 밴드 돌파 n=14, k=3.4 |
0.8% | -16.7% | 0.23 | 0.05 | 1.5x | 22 | 1% |
| Parabolic SAR step=0.01, maxStep=0.3 |
2.5% | -90.8% | 0.23 | 0.03 | 3.8x | 630 | 52% |
| Supertrend period=24, mult=3.3 |
1.4% | -81.6% | 0.18 | 0.02 | 2.1x | 328 | 53% |
| ROC 모멘텀 n=87, threshold=0.08 |
1.4% | -79.9% | 0.17 | 0.02 | 2.1x | 539 | 38% |
| MACD fast=24, slow=50, signal=18 |
-0.6% | -82.6% | 0.11 | -0.01 | 0.7x | 539 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=27, mult=4 |
0.3% | -65.1% | 0.08 | 0.00 | 1.2x | 90 | 11% |
| Buy and hold | 6.8% | -88.1% | 0.36 | 0.08 | 32.9x | 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 102 days
- Sell — Sell when price breaks below the lowest low of the last 49 days