Trend-Following Backtester · Guide · backtest 한국어
equity · US
Smurfit WestRock plc backtest
10 trend-following strategies were compared on the full daily history of Smurfit WestRock plc. 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 11.4%, MDD -57.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.0%, drawdown -79.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.4%, MDD -57.9%, Sharpe 0.48, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 21.3%p (CAGR 11.4%, MDD -57.9%, exposure 67%).
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=40, exitN=78 |
11.4% | -57.9% | 0.48 | 0.20 | 7.1x | 45 | 67% |
| ROC 모멘텀 n=84, threshold=-0.05 |
10.9% | -64.9% | 0.46 | 0.17 | 6.5x | 127 | 68% |
| SMA 크로스오버 fast=29, slow=100 |
10.3% | -66.2% | 0.46 | 0.16 | 5.9x | 47 | 60% |
| EMA 크로스오버 fast=32, slow=59 |
9.9% | -58.8% | 0.45 | 0.17 | 5.6x | 57 | 60% |
| 볼린저 밴드 돌파 n=36, k=2.9 |
7.3% | -34.9% | 0.44 | 0.21 | 3.6x | 42 | 21% |
| ADX / DI 방향성 period=36, threshold=35 |
6.5% | -33.5% | 0.44 | 0.20 | 3.1x | 22 | 14% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=13, mult=4 |
4.4% | -70.1% | 0.29 | 0.06 | 2.2x | 96 | 42% |
| MACD fast=24, slow=59, signal=19 |
3.2% | -77.5% | 0.25 | 0.04 | 1.8x | 167 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
0.7% | -70.3% | 0.18 | 0.01 | 1.1x | 167 | 57% |
| Supertrend period=5, mult=5 |
-1.6% | -87.0% | 0.10 | -0.02 | 0.7x | 189 | 56% |
| Buy and hold | 10.0% | -79.2% | 0.44 | 0.13 | 5.6x | 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 40 days
- Sell — Sell when price breaks below the lowest low of the last 78 days