Trend-Following Backtester · Guide · backtest 한국어
equity · US
Seaboard Corporation backtest
10 trend-following strategies were compared on the full daily history of Seaboard Corporation. 0 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 11.7%, MDD -47.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -70.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -47.0%, Sharpe 0.57, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 23.3%p (CAGR 11.7%, MDD -47.0%, exposure 56%).
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=79, exitN=75 |
11.7% | -47.0% | 0.57 | 0.25 | 371.4x | 84 | 56% |
| EMA 크로스오버 fast=53, slow=210 |
9.8% | -59.2% | 0.49 | 0.16 | 145.1x | 61 | 61% |
| SMA 크로스오버 fast=18, slow=121 |
9.6% | -56.9% | 0.49 | 0.17 | 134.0x | 156 | 57% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=25, mult=2.8 |
8.1% | -52.2% | 0.49 | 0.16 | 65.1x | 208 | 38% |
| ADX / DI 방향성 period=37, threshold=14 |
6.5% | -54.3% | 0.42 | 0.12 | 28.7x | 286 | 35% |
| 볼린저 밴드 돌파 n=85, k=2.3 |
6.1% | -67.2% | 0.40 | 0.09 | 23.7x | 132 | 34% |
| ROC 모멘텀 n=107, threshold=-0.01 |
7.1% | -65.9% | 0.39 | 0.11 | 39.3x | 494 | 62% |
| Supertrend period=21, mult=5 |
6.1% | -58.6% | 0.36 | 0.10 | 23.1x | 316 | 55% |
| MACD fast=27, slow=70, signal=25 |
1.5% | -95.1% | 0.18 | 0.02 | 2.2x | 410 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.5% | -94.8% | 0.18 | 0.02 | 2.2x | 746 | 52% |
| Buy and hold | 12.5% | -70.3% | 0.51 | 0.18 | 532.3x | 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 79 days
- Sell — Sell when price breaks below the lowest low of the last 75 days