Trend-Following Backtester · Guide · backtest 한국어
equity · US
Timken Company (The) backtest
10 trend-following strategies were compared on the full daily history of Timken Company (The). 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 4.7%, MDD -57.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -76.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -72.2%, Sharpe 0.35, 79% exposure.
Return/drawdown alternative: MACD — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 3.8%p (CAGR 4.7%, MDD -57.0%, exposure 51%).
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=14, exitN=59 |
5.9% | -72.2% | 0.35 | 0.08 | 21.3x | 185 | 79% |
| MACD fast=17, slow=36, signal=20 |
4.7% | -57.0% | 0.32 | 0.08 | 11.6x | 584 | 51% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
4.8% | -79.3% | 0.31 | 0.06 | 12.6x | 13 | 100% |
| Supertrend period=12, mult=3 |
3.7% | -60.5% | 0.28 | 0.06 | 7.1x | 429 | 55% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
1.3% | -30.9% | 0.21 | 0.04 | 1.9x | 48 | 9% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=4 |
1.5% | -51.7% | 0.18 | 0.03 | 2.2x | 140 | 23% |
| EMA 크로스오버 fast=25, slow=87 |
1.5% | -75.1% | 0.18 | 0.02 | 2.3x | 165 | 55% |
| SMA 크로스오버 fast=22, slow=59 |
1.2% | -73.2% | 0.17 | 0.02 | 1.9x | 249 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.1% | -72.5% | 0.16 | 0.02 | 1.8x | 456 | 54% |
| ADX / DI 방향성 period=51, threshold=14 |
0.6% | -73.3% | 0.11 | 0.01 | 1.4x | 183 | 22% |
| Buy and hold | 5.6% | -76.0% | 0.33 | 0.07 | 18.6x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 59 days