Trend-Following Backtester · Guide · backtest 한국어
equity · US
Calumet, Inc backtest
10 trend-following strategies were compared on the full daily history of Calumet, Inc. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.0%, MDD -53.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.1%, drawdown -98.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.8%, MDD -73.4%, Sharpe 0.55, 69% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 12.0%, MDD -53.5%, exposure 39%).
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=35, exitN=58 |
14.8% | -73.4% | 0.55 | 0.20 | 17.1x | 39 | 69% |
| ROC 모멘텀 n=136, threshold=0.14 |
12.0% | -53.5% | 0.53 | 0.22 | 10.3x | 151 | 39% |
| EMA 크로스오버 fast=78, slow=197 |
11.4% | -63.2% | 0.49 | 0.18 | 9.3x | 19 | 52% |
| SMA 크로스오버 fast=25, slow=171 |
10.1% | -75.6% | 0.46 | 0.13 | 7.3x | 45 | 53% |
| Parabolic SAR step=0.04, maxStep=0.18 |
9.5% | -87.2% | 0.42 | 0.11 | 6.5x | 618 | 53% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=0.6 |
7.7% | -67.9% | 0.39 | 0.11 | 4.6x | 201 | 50% |
| ADX / DI 방향성 period=9, threshold=13 |
7.2% | -68.0% | 0.37 | 0.11 | 4.2x | 539 | 50% |
| MACD fast=14, slow=44, signal=10 |
7.0% | -85.4% | 0.37 | 0.08 | 4.1x | 298 | 50% |
| Supertrend period=13, mult=4.5 |
4.9% | -86.0% | 0.31 | 0.06 | 2.7x | 73 | 56% |
| 볼린저 밴드 돌파 n=50, k=3 |
3.5% | -40.0% | 0.29 | 0.09 | 2.1x | 30 | 12% |
| Buy and hold | 4.1% | -98.3% | 0.36 | 0.04 | 2.3x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 58 days