Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avnet, Inc. backtest
10 trend-following strategies were compared on the full daily history of Avnet, 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 7.4%, drawdown -84.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -68.0%, Sharpe 0.36, 93% exposure.
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=4, exitN=100 |
6.7% | -68.0% | 0.36 | 0.10 | 31.8x | 183 | 93% |
| MACD fast=14, slow=23, signal=19 |
4.6% | -66.4% | 0.30 | 0.07 | 10.8x | 710 | 51% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=38, mult=3 |
1.6% | -34.3% | 0.25 | 0.05 | 2.3x | 68 | 4% |
| ADX / DI 방향성 period=23, threshold=28 |
1.9% | -37.9% | 0.23 | 0.05 | 2.7x | 78 | 9% |
| Supertrend period=15, mult=3.5 |
2.5% | -87.1% | 0.22 | 0.03 | 3.7x | 348 | 54% |
| ROC 모멘텀 n=151, threshold=-0.05 |
2.3% | -82.1% | 0.22 | 0.03 | 3.3x | 415 | 66% |
| SMA 크로스오버 fast=50, slow=201 |
1.6% | -74.5% | 0.19 | 0.02 | 2.3x | 95 | 58% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
1.3% | -85.2% | 0.17 | 0.02 | 2.0x | 322 | 37% |
| EMA 크로스오버 fast=34, slow=96 |
0.9% | -83.3% | 0.16 | 0.01 | 1.6x | 147 | 58% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.4% | -88.8% | 0.11 | -0.00 | 0.8x | 465 | 54% |
| Buy and hold | 7.4% | -84.8% | 0.38 | 0.09 | 43.8x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 100 days