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 16.2%, drawdown -80.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -45.3%, Sharpe 0.53, 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 |
9.8% | -45.3% | 0.53 | 0.22 | 17.6x | 93 | 52% |
| Supertrend period=22, mult=5 |
9.1% | -47.9% | 0.47 | 0.19 | 14.5x | 91 | 59% |
| EMA 크로스오버 fast=39, slow=68 |
8.0% | -55.9% | 0.43 | 0.14 | 10.7x | 73 | 63% |
| SMA 크로스오버 fast=12, slow=215 |
7.7% | -46.4% | 0.42 | 0.17 | 9.7x | 79 | 63% |
| 볼린저 밴드 돌파 n=74, k=2 |
6.3% | -39.5% | 0.41 | 0.16 | 6.5x | 99 | 43% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=3.1 |
5.8% | -39.9% | 0.40 | 0.15 | 5.7x | 112 | 38% |
| ROC 모멘텀 n=55, threshold=-0.04 |
6.6% | -79.2% | 0.37 | 0.08 | 7.1x | 309 | 72% |
| ADX / DI 방향성 period=37, threshold=13 |
3.5% | -51.6% | 0.27 | 0.07 | 2.9x | 222 | 41% |
| MACD fast=19, slow=32, signal=19 |
2.0% | -70.4% | 0.20 | 0.03 | 1.9x | 366 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.0% | -70.9% | 0.20 | 0.03 | 1.8x | 273 | 57% |
| Buy and hold | 16.2% | -80.1% | 0.59 | 0.20 | 99.3x | 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