Trend-Following Backtester · Guide · backtest 한국어
equity · US
Waters Corporation backtest
10 trend-following strategies were compared on the full daily history of Waters 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 16.5%, drawdown -80.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -45.3%, Sharpe 0.54, 52% 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=51, exitN=30 |
10.1% | -45.3% | 0.54 | 0.22 | 19.3x | 93 | 52% |
| Supertrend period=22, mult=5 |
9.4% | -47.9% | 0.48 | 0.20 | 15.9x | 91 | 59% |
| EMA 크로스오버 fast=39, slow=68 |
8.3% | -55.9% | 0.44 | 0.15 | 11.8x | 73 | 63% |
| SMA 크로스오버 fast=12, slow=215 |
8.0% | -46.4% | 0.43 | 0.17 | 10.6x | 79 | 63% |
| 볼린저 밴드 돌파 n=74, k=2 |
6.6% | -39.5% | 0.42 | 0.17 | 7.1x | 99 | 43% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=3.1 |
5.8% | -41.5% | 0.40 | 0.14 | 5.7x | 113 | 38% |
| ROC 모멘텀 n=55, threshold=-0.04 |
6.9% | -79.2% | 0.38 | 0.09 | 7.8x | 309 | 72% |
| ADX / DI 방향성 period=37, threshold=13 |
3.5% | -51.6% | 0.27 | 0.07 | 2.9x | 223 | 41% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.3% | -70.9% | 0.22 | 0.03 | 2.0x | 273 | 57% |
| MACD fast=19, slow=32, signal=19 |
2.1% | -70.4% | 0.21 | 0.03 | 1.9x | 367 | 50% |
| Buy and hold | 16.5% | -80.1% | 0.60 | 0.21 | 109.1x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 30 days