Trend-Following Backtester · Guide · backtest 한국어
equity · US
Westinghouse Air Brake Technologies Corporation backtest
10 trend-following strategies were compared on the full daily history of Westinghouse Air Brake Technologies Corporation. 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 12.5%, drawdown -72.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -65.5%, Sharpe 0.48, 81% 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=21, exitN=64 |
10.3% | -65.5% | 0.48 | 0.16 | 21.3x | 73 | 81% |
| ROC 모멘텀 n=55, threshold=-0.09 |
8.6% | -78.7% | 0.43 | 0.11 | 13.1x | 249 | 82% |
| EMA 크로스오버 fast=52, slow=77 |
7.2% | -50.9% | 0.40 | 0.14 | 8.8x | 65 | 67% |
| SMA 크로스오버 fast=38, slow=122 |
7.1% | -57.9% | 0.40 | 0.12 | 8.4x | 69 | 65% |
| Supertrend period=14, mult=4.1 |
5.1% | -58.1% | 0.32 | 0.09 | 4.7x | 141 | 61% |
| ADX / DI 방향성 period=51, threshold=16 |
3.1% | -28.8% | 0.31 | 0.11 | 2.6x | 46 | 16% |
| MACD fast=23, slow=72, signal=24 |
2.8% | -63.6% | 0.23 | 0.04 | 2.4x | 261 | 52% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
0.6% | -69.4% | 0.12 | 0.01 | 1.2x | 119 | 35% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=1.4 |
-2.4% | -84.4% | -0.01 | -0.03 | 0.5x | 251 | 51% |
| Parabolic SAR step=0.045, maxStep=0.08 |
-3.9% | -93.0% | -0.03 | -0.04 | 0.3x | 691 | 55% |
| Buy and hold | 12.5% | -72.0% | 0.51 | 0.17 | 38.6x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 64 days