Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Craftsman Automation Ltd. backtest
10 trend-following strategies were compared on the full daily history of Craftsman Automation Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 44.7%, MDD -31.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 43.3%, drawdown -40.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 44.7%, MDD -31.2%, Sharpe 1.23, 93% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 9.2%p (CAGR 44.7%, MDD -31.2%, exposure 93%).
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=13, exitN=135 |
44.7% | -31.2% | 1.23 | 1.43 | 7.2x | 5 | 93% |
| Supertrend period=26, mult=4.4 |
35.3% | -30.8% | 1.16 | 1.15 | 5.0x | 11 | 75% |
| Parabolic SAR step=0.01, maxStep=0.18 |
30.5% | -30.3% | 1.09 | 1.01 | 4.2x | 65 | 59% |
| SMA 크로스오버 fast=6, slow=27 |
30.3% | -20.2% | 1.07 | 1.50 | 4.1x | 53 | 61% |
| EMA 크로스오버 fast=9, slow=24 |
29.5% | -27.9% | 1.03 | 1.06 | 4.0x | 47 | 68% |
| 볼린저 밴드 돌파 n=50, k=1.3 |
21.4% | -22.9% | 0.89 | 0.93 | 2.8x | 27 | 55% |
| ROC 모멘텀 n=128, threshold=-0.02 |
23.2% | -38.0% | 0.84 | 0.61 | 3.0x | 23 | 74% |
| ADX / DI 방향성 period=13, threshold=11 |
21.1% | -29.3% | 0.81 | 0.72 | 2.8x | 103 | 65% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=1.5 |
18.5% | -27.0% | 0.78 | 0.69 | 2.5x | 31 | 58% |
| MACD fast=11, slow=22, signal=13 |
16.2% | -22.6% | 0.72 | 0.72 | 2.2x | 93 | 48% |
| Buy and hold | 43.3% | -40.4% | 1.18 | 1.07 | 6.8x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 135 days