Trend-Following Backtester · Guide · backtest 한국어
equity · US
Select Water Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Select Water Solutions, Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 5.2%, MDD -64.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -89.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.7%, MDD -71.2%, Sharpe 0.40, 84% exposure.
CAGR reference leader: Supertrend — CAGR 8.0%, MDD -65.2%, exposure 58%.
Return/drawdown alternative: MACD — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 5.2%, MDD -64.1%, exposure 50%).
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=16, exitN=104 |
7.7% | -71.2% | 0.40 | 0.11 | 2.0x | 19 | 84% |
| Supertrend period=13, mult=4.5 |
8.0% | -65.2% | 0.39 | 0.12 | 2.0x | 27 | 58% |
| SMA 크로스오버 fast=46, slow=89 |
7.8% | -65.9% | 0.39 | 0.12 | 2.0x | 29 | 55% |
| MACD fast=16, slow=54, signal=19 |
5.2% | -64.1% | 0.33 | 0.08 | 1.6x | 84 | 50% |
| ROC 모멘텀 n=17, threshold=-0.08 |
1.6% | -60.9% | 0.27 | 0.03 | 1.2x | 141 | 77% |
| EMA 크로스오버 fast=14, slow=179 |
0.9% | -61.1% | 0.20 | 0.01 | 1.1x | 23 | 47% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
1.1% | -30.9% | 0.15 | 0.04 | 1.1x | 12 | 14% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-3.6% | -64.2% | 0.13 | -0.06 | 0.7x | 124 | 51% |
| ADX / DI 방향성 period=11, threshold=18 |
-4.9% | -68.3% | 0.05 | -0.07 | 0.6x | 172 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=4 |
-1.9% | -47.5% | -0.02 | -0.04 | 0.8x | 16 | 17% |
| Buy and hold | 4.9% | -89.5% | 0.38 | 0.05 | 1.5x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 104 days