Trend-Following Backtester · Guide · backtest 한국어
equity · US
Worthington Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Worthington Enterprises, Inc.. 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 8.5%, drawdown -72.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -84.5%, Sharpe 0.31, 91% 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=5, exitN=84 |
4.9% | -84.5% | 0.31 | 0.06 | 9.4x | 175 | 91% |
| Supertrend period=22, mult=5 |
0.9% | -77.0% | 0.17 | 0.01 | 1.5x | 168 | 55% |
| SMA 크로스오버 fast=58, slow=130 |
-0.1% | -70.6% | 0.13 | -0.00 | 1.0x | 111 | 57% |
| ADX / DI 방향성 period=49, threshold=25 |
0.7% | -25.4% | 0.13 | 0.03 | 1.4x | 10 | 3% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-0.4% | -95.4% | 0.11 | -0.00 | 0.8x | 776 | 51% |
| EMA 크로스오버 fast=61, slow=152 |
-0.8% | -83.6% | 0.10 | -0.01 | 0.7x | 85 | 59% |
| MACD fast=11, slow=22, signal=9 |
-1.7% | -98.3% | 0.07 | -0.02 | 0.4x | 947 | 50% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
-1.0% | -83.1% | 0.01 | -0.01 | 0.6x | 114 | 18% |
| ROC 모멘텀 n=137, threshold=0.13 |
-2.0% | -88.5% | 0.01 | -0.02 | 0.4x | 398 | 34% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=16, mult=3.1 |
-3.5% | -95.2% | -0.11 | -0.04 | 0.2x | 184 | 26% |
| Buy and hold | 8.5% | -72.4% | 0.40 | 0.12 | 44.5x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 84 days