Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trinity Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Trinity Industries, 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 8.9%, drawdown -86.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -73.1%, Sharpe 0.49, 44% 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=11, exitN=7 |
9.4% | -73.1% | 0.49 | 0.13 | 117.8x | 608 | 44% |
| Supertrend period=16, mult=2.7 |
8.2% | -69.6% | 0.43 | 0.12 | 67.4x | 494 | 53% |
| Parabolic SAR step=0.01, maxStep=0.36 |
7.5% | -84.9% | 0.40 | 0.09 | 46.2x | 680 | 52% |
| SMA 크로스오버 fast=40, slow=96 |
7.4% | -70.1% | 0.40 | 0.11 | 45.7x | 137 | 56% |
| ADX / DI 방향성 period=25, threshold=10 |
7.0% | -71.5% | 0.39 | 0.10 | 36.0x | 672 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.6 |
6.1% | -74.9% | 0.38 | 0.08 | 23.5x | 564 | 38% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=19, mult=1.3 |
6.0% | -59.6% | 0.36 | 0.10 | 22.4x | 474 | 45% |
| MACD fast=11, slow=58, signal=13 |
6.0% | -76.1% | 0.35 | 0.08 | 22.5x | 766 | 51% |
| ROC 모멘텀 n=72, threshold=0.01 |
5.7% | -71.3% | 0.34 | 0.08 | 18.9x | 557 | 54% |
| EMA 크로스오버 fast=23, slow=148 |
5.6% | -73.2% | 0.34 | 0.08 | 18.1x | 121 | 58% |
| Buy and hold | 8.9% | -86.5% | 0.41 | 0.10 | 91.6x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 7 days