Trend-Following Backtester · Guide · backtest 한국어
equity · US
Thermo Fisher Scientific Inc backtest
10 trend-following strategies were compared on the full daily history of Thermo Fisher Scientific Inc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 13.0%, drawdown -71.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -60.1%, Sharpe 0.61, 82% 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=18, exitN=67 |
13.3% | -60.1% | 0.61 | 0.22 | 333.8x | 107 | 82% |
| ROC 모멘텀 n=43, threshold=-0.15 |
12.4% | -76.3% | 0.56 | 0.16 | 228.6x | 189 | 92% |
| SMA 크로스오버 fast=36, slow=188 |
9.1% | -48.2% | 0.49 | 0.19 | 56.0x | 79 | 68% |
| EMA 크로스오버 fast=31, slow=77 |
8.4% | -54.2% | 0.47 | 0.15 | 41.6x | 113 | 67% |
| Supertrend period=4, mult=5 |
8.0% | -55.4% | 0.46 | 0.14 | 35.8x | 171 | 61% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.9% | -58.2% | 0.33 | 0.08 | 9.2x | 389 | 57% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
4.2% | -41.5% | 0.31 | 0.10 | 6.6x | 229 | 46% |
| ADX / DI 방향성 period=28, threshold=14 |
3.8% | -63.4% | 0.29 | 0.06 | 5.6x | 377 | 42% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=1.9 |
3.7% | -58.2% | 0.28 | 0.06 | 5.4x | 285 | 48% |
| MACD fast=31, slow=59, signal=31 |
3.7% | -63.8% | 0.28 | 0.06 | 5.4x | 335 | 52% |
| Buy and hold | 13.0% | -71.2% | 0.54 | 0.18 | 297.6x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 67 days