Trend-Following Backtester · Guide · backtest 한국어
equity · US
Watsco, Inc. backtest
10 trend-following strategies were compared on the full daily history of Watsco, 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 12.5%, drawdown -64.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -53.1%, Sharpe 0.43, 80% 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=27, exitN=77 |
8.6% | -53.1% | 0.43 | 0.16 | 32.1x | 102 | 80% |
| SMA 크로스오버 fast=53, slow=75 |
6.9% | -73.3% | 0.39 | 0.09 | 16.7x | 164 | 61% |
| 볼린저 밴드 돌파 n=60, k=3.1 |
4.1% | -38.0% | 0.35 | 0.11 | 5.4x | 68 | 20% |
| EMA 크로스오버 fast=49, slow=54 |
5.7% | -66.1% | 0.35 | 0.09 | 10.4x | 116 | 67% |
| ROC 모멘텀 n=68, threshold=-0.04 |
4.5% | -63.0% | 0.30 | 0.07 | 6.5x | 438 | 72% |
| Supertrend period=10, mult=3.5 |
2.5% | -66.0% | 0.22 | 0.04 | 2.9x | 336 | 58% |
| ADX / DI 방향성 period=43, threshold=24 |
1.2% | -38.2% | 0.18 | 0.03 | 1.6x | 28 | 7% |
| MACD fast=16, slow=92, signal=22 |
1.3% | -69.5% | 0.17 | 0.02 | 1.7x | 412 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.5% | -90.5% | 0.05 | -0.02 | 0.5x | 686 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=17, mult=1.6 |
-1.5% | -78.8% | 0.03 | -0.02 | 0.5x | 378 | 46% |
| Buy and hold | 12.5% | -64.8% | 0.52 | 0.19 | 145.4x | 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 27 days
- Sell — Sell when price breaks below the lowest low of the last 77 days