Trend-Following Backtester · Guide · backtest 한국어
equity · US
Standex International Corporation backtest
10 trend-following strategies were compared on the full daily history of Standex International 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 9.4%, drawdown -78.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -79.0%, Sharpe 0.43, 93% 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=4, exitN=100 |
8.9% | -79.0% | 0.43 | 0.11 | 97.4x | 181 | 93% |
| SMA 크로스오버 fast=41, slow=89 |
4.8% | -64.0% | 0.31 | 0.07 | 12.1x | 157 | 58% |
| EMA 크로스오버 fast=43, slow=343 |
4.4% | -84.7% | 0.29 | 0.05 | 9.9x | 55 | 68% |
| Supertrend period=28, mult=3.7 |
1.7% | -64.6% | 0.19 | 0.03 | 2.5x | 343 | 55% |
| ROC 모멘텀 n=117, threshold=-0.04 |
0.8% | -88.5% | 0.16 | 0.01 | 1.6x | 485 | 71% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.3% | -84.1% | 0.13 | 0.00 | 1.2x | 413 | 53% |
| 볼린저 밴드 돌파 n=76, k=2.5 |
0.1% | -53.4% | 0.09 | 0.00 | 1.0x | 124 | 27% |
| MACD fast=9, slow=31, signal=16 |
-1.9% | -95.1% | 0.04 | -0.02 | 0.4x | 902 | 49% |
| ADX / DI 방향성 period=15, threshold=14 |
-3.2% | -92.8% | -0.04 | -0.03 | 0.2x | 950 | 48% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=13, mult=2.3 |
-4.2% | -94.3% | -0.12 | -0.04 | 0.1x | 352 | 36% |
| Buy and hold | 9.4% | -78.3% | 0.43 | 0.12 | 124.6x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 100 days