Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Precision Drilling Corporation backtest
10 trend-following strategies were compared on the full daily history of Precision Drilling Corporation. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.3%, MDD -48.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.5%, drawdown -99.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -49.5%, Sharpe 0.59, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 12.3%, MDD -48.8%, exposure 30%).
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=29, exitN=10 |
13.3% | -49.5% | 0.59 | 0.27 | 13.2x | 113 | 34% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
12.3% | -48.8% | 0.57 | 0.25 | 11.0x | 138 | 30% |
| SMA 크로스오버 fast=41, slow=45 |
9.7% | -59.9% | 0.44 | 0.16 | 6.8x | 177 | 49% |
| Supertrend period=6, mult=3.6 |
8.5% | -68.2% | 0.41 | 0.13 | 5.4x | 103 | 52% |
| ADX / DI 방향성 period=20, threshold=8 |
8.4% | -74.7% | 0.41 | 0.11 | 5.2x | 315 | 49% |
| ROC 모멘텀 n=40, threshold=0.04 |
7.7% | -59.4% | 0.39 | 0.13 | 4.6x | 271 | 42% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=1.2 |
5.3% | -67.1% | 0.32 | 0.08 | 2.9x | 135 | 42% |
| Parabolic SAR step=0.02, maxStep=0.36 |
4.7% | -75.3% | 0.31 | 0.06 | 2.6x | 447 | 49% |
| EMA 크로스오버 fast=58, slow=131 |
4.4% | -70.4% | 0.29 | 0.06 | 2.4x | 33 | 45% |
| MACD fast=10, slow=31, signal=4 |
1.4% | -81.3% | 0.23 | 0.02 | 1.3x | 535 | 51% |
| Buy and hold | -8.5% | -99.0% | 0.11 | -0.09 | 0.2x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 10 days