Trend-Following Backtester · Guide · backtest 한국어
equity · US
Columbia Sportswear Company backtest
10 trend-following strategies were compared on the full daily history of Columbia Sportswear Company. 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 7.5%, drawdown -64.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.1%, MDD -64.4%, Sharpe 0.32, 78% 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=15, exitN=54 |
5.1% | -64.4% | 0.32 | 0.08 | 4.1x | 84 | 78% |
| SMA 크로스오버 fast=57, slow=200 |
5.0% | -60.4% | 0.31 | 0.08 | 4.0x | 41 | 60% |
| EMA 크로스오버 fast=38, slow=217 |
4.6% | -59.9% | 0.30 | 0.08 | 3.6x | 48 | 63% |
| ROC 모멘텀 n=131, threshold=-0.04 |
2.5% | -67.0% | 0.23 | 0.04 | 2.0x | 240 | 66% |
| ADX / DI 방향성 period=16, threshold=46 |
0.6% | -9.7% | 0.23 | 0.07 | 1.2x | 10 | 1% |
| Supertrend period=12, mult=2.7 |
-1.0% | -79.8% | 0.10 | -0.01 | 0.7x | 224 | 55% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
-0.4% | -37.7% | 0.00 | -0.01 | 0.9x | 20 | 2% |
| MACD fast=18, slow=38, signal=23 |
-3.5% | -90.4% | 0.00 | -0.04 | 0.4x | 308 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-7.2% | -89.3% | -0.14 | -0.08 | 0.1x | 222 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=2.5 |
-1.9% | -48.9% | -0.18 | -0.04 | 0.6x | 60 | 6% |
| Buy and hold | 7.5% | -64.2% | 0.38 | 0.12 | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 54 days