Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tennant Company backtest
10 trend-following strategies were compared on the full daily history of Tennant Company. 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 5.7%, drawdown -84.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -62.1%, Sharpe 0.29, 78% 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=14, exitN=100 |
4.1% | -62.1% | 0.29 | 0.07 | 8.7x | 117 | 78% |
| SMA 크로스오버 fast=46, slow=174 |
0.6% | -72.9% | 0.14 | 0.01 | 1.4x | 97 | 57% |
| Supertrend period=27, mult=4.7 |
0.4% | -71.2% | 0.14 | 0.01 | 1.3x | 179 | 55% |
| 볼린저 밴드 돌파 n=77, k=3 |
0.9% | -38.5% | 0.14 | 0.02 | 1.6x | 66 | 17% |
| EMA 크로스오버 fast=48, slow=71 |
0.3% | -67.8% | 0.13 | 0.00 | 1.2x | 145 | 57% |
| ADX / DI 방향성 period=49, threshold=27 |
0.5% | -67.6% | 0.10 | 0.01 | 1.3x | 28 | 25% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.6% | -85.5% | 0.10 | -0.01 | 0.7x | 418 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=13, mult=3.2 |
-1.1% | -62.9% | -0.07 | -0.02 | 0.6x | 98 | 9% |
| MACD fast=24, slow=66, signal=22 |
-4.2% | -97.6% | -0.07 | -0.04 | 0.1x | 478 | 51% |
| ROC 모멘텀 n=129, threshold=-0.03 |
-4.9% | -94.9% | -0.07 | -0.05 | 0.1x | 503 | 64% |
| Buy and hold | 5.7% | -84.3% | 0.33 | 0.07 | 19.7x | 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 100 days