Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Finning International Inc. backtest
10 trend-following strategies were compared on the full daily history of Finning International 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 9.8%, drawdown -69.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -41.0%, Sharpe 0.43, 55% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.8%, MDD -46.4%, exposure 60%.
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=98, exitN=73 |
6.8% | -41.0% | 0.43 | 0.17 | 7.9x | 43 | 55% |
| EMA 크로스오버 fast=20, slow=81 |
6.8% | -46.4% | 0.41 | 0.15 | 8.0x | 99 | 60% |
| SMA 크로스오버 fast=56, slow=91 |
6.7% | -51.7% | 0.41 | 0.13 | 7.7x | 89 | 59% |
| Supertrend period=15, mult=4.6 |
6.4% | -43.8% | 0.40 | 0.15 | 7.1x | 103 | 57% |
| 볼린저 밴드 돌파 n=76, k=1.8 |
5.1% | -31.6% | 0.37 | 0.16 | 4.9x | 102 | 43% |
| ADX / DI 방향성 period=31, threshold=22 |
2.3% | -31.6% | 0.29 | 0.07 | 2.0x | 62 | 12% |
| ROC 모멘텀 n=133, threshold=0.02 |
2.7% | -55.6% | 0.23 | 0.05 | 2.3x | 275 | 58% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=2.6 |
1.6% | -43.6% | 0.18 | 0.04 | 1.6x | 136 | 38% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.8% | -82.9% | -0.03 | -0.03 | 0.4x | 410 | 53% |
| MACD fast=18, slow=25, signal=13 |
-5.1% | -96.1% | -0.14 | -0.05 | 0.2x | 476 | 49% |
| Buy and hold | 9.8% | -69.7% | 0.46 | 0.14 | 19.2x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 73 days