Trend-Following Backtester · Guide · backtest 한국어
equity · US
Thor Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Thor Industries, Inc.. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 13.3%, MDD -65.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.1%, drawdown -82.6%).
Sharpe leader (same as main): MACD — CAGR 13.3%, MDD -65.7%, Sharpe 0.58, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 13.3%, MDD -65.7%, exposure 52%).
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=38, slow=47, signal=29 |
13.3% | -65.7% | 0.58 | 0.20 | 202.0x | 265 | 52% |
| 볼린저 밴드 돌파 n=33, k=1.9 |
9.9% | -58.1% | 0.53 | 0.17 | 55.6x | 268 | 35% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=1.9 |
10.2% | -55.2% | 0.52 | 0.18 | 62.1x | 236 | 40% |
| ADX / DI 방향성 period=28, threshold=19 |
7.3% | -47.7% | 0.45 | 0.15 | 20.2x | 190 | 28% |
| Supertrend period=8, mult=3 |
8.6% | -57.2% | 0.43 | 0.15 | 33.4x | 346 | 52% |
| EMA 크로스오버 fast=9, slow=51 |
8.5% | -57.6% | 0.43 | 0.15 | 31.8x | 276 | 53% |
| SMA 크로스오버 fast=11, slow=60 |
8.1% | -58.7% | 0.42 | 0.14 | 27.6x | 235 | 52% |
| Donchian 채널 돌파 entryN=14, exitN=25 |
7.9% | -65.8% | 0.40 | 0.12 | 25.7x | 285 | 62% |
| Parabolic SAR step=0.005, maxStep=0.28 |
7.5% | -64.8% | 0.40 | 0.12 | 21.3x | 341 | 52% |
| ROC 모멘텀 n=44, threshold=0.02 |
3.5% | -76.0% | 0.26 | 0.05 | 4.3x | 612 | 48% |
| Buy and hold | 11.1% | -82.6% | 0.46 | 0.13 | 89.5x | 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 (38/47) crosses above its 29-day signal line
- Sell — Sell when the MACD line crosses back below the signal line