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 47.2%, MDD -31.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 45.8%, drawdown -40.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 47.2%, MDD -31.2%, Sharpe 1.28, 94% 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 47.2%, MDD -31.2%, exposure 94%).
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 |
47.2% | -31.2% | 1.28 | 1.51 | 8.2x | 5 | 94% |
| Supertrend period=26, mult=4.4 |
37.8% | -30.8% | 1.22 | 1.23 | 5.7x | 11 | 76% |
| Parabolic SAR step=0.01, maxStep=0.18 |
33.0% | -30.3% | 1.16 | 1.09 | 4.7x | 65 | 59% |
| SMA 크로스오버 fast=6, slow=27 |
32.9% | -20.2% | 1.13 | 1.62 | 4.7x | 53 | 62% |
| EMA 크로스오버 fast=9, slow=24 |
32.0% | -27.9% | 1.10 | 1.15 | 4.5x | 47 | 68% |
| 볼린저 밴드 돌파 n=50, k=1.3 |
23.9% | -22.9% | 0.97 | 1.04 | 3.2x | 27 | 55% |
| ROC 모멘텀 n=128, threshold=-0.02 |
25.7% | -38.0% | 0.90 | 0.68 | 3.5x | 23 | 75% |
| ADX / DI 방향성 period=13, threshold=11 |
23.5% | -29.3% | 0.88 | 0.80 | 3.2x | 103 | 66% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=1.5 |
21.0% | -27.0% | 0.86 | 0.78 | 2.8x | 31 | 59% |
| MACD fast=11, slow=22, signal=13 |
17.0% | -22.6% | 0.75 | 0.75 | 2.3x | 95 | 48% |
| Buy and hold | 45.8% | -40.4% | 1.23 | 1.13 | 7.8x | 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