Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Bird Construction Inc. backtest
10 trend-following strategies were compared on the full daily history of Bird Construction 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 12.6%, drawdown -76.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -77.0%, Sharpe 0.50, 86% 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=12, exitN=96 |
11.2% | -77.0% | 0.50 | 0.15 | 15.4x | 65 | 86% |
| EMA 크로스오버 fast=31, slow=241 |
8.4% | -76.1% | 0.44 | 0.11 | 8.0x | 29 | 62% |
| SMA 크로스오버 fast=54, slow=180 |
7.9% | -83.6% | 0.43 | 0.09 | 7.0x | 35 | 60% |
| Supertrend period=33, mult=4 |
7.6% | -91.6% | 0.42 | 0.08 | 6.6x | 146 | 56% |
| ADX / DI 방향성 period=24, threshold=13 |
7.4% | -86.4% | 0.42 | 0.09 | 6.3x | 248 | 48% |
| ROC 모멘텀 n=85, threshold=0 |
4.8% | -85.3% | 0.34 | 0.06 | 3.3x | 241 | 59% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=18, mult=2.7 |
4.2% | -91.8% | 0.32 | 0.05 | 2.9x | 95 | 44% |
| 볼린저 밴드 돌파 n=32, k=1.1 |
3.1% | -93.2% | 0.29 | 0.03 | 2.2x | 214 | 44% |
| Parabolic SAR step=0.015, maxStep=0.18 |
2.3% | -81.7% | 0.26 | 0.03 | 1.8x | 348 | 54% |
| MACD fast=7, slow=22, signal=10 |
-2.0% | -90.3% | 0.12 | -0.02 | 0.6x | 564 | 51% |
| Buy and hold | 12.6% | -76.1% | 0.52 | 0.17 | 21.0x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 96 days