Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dorman Products, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dorman Products, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.5%, MDD -64.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.6%, drawdown -89.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.5%, MDD -64.7%, Sharpe 0.53, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 14.5%, MDD -64.7%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=71, slow=111 |
14.5% | -64.7% | 0.53 | 0.22 | 119.7x | 77 | 60% |
| EMA 크로스오버 fast=41, slow=135 |
9.8% | -77.2% | 0.43 | 0.13 | 27.1x | 53 | 62% |
| Donchian 채널 돌파 entryN=67, exitN=70 |
8.4% | -68.1% | 0.41 | 0.12 | 17.3x | 49 | 66% |
| Supertrend period=29, mult=3.6 |
5.3% | -58.5% | 0.32 | 0.09 | 6.3x | 153 | 54% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=29, mult=2.4 |
3.9% | -52.8% | 0.27 | 0.07 | 3.8x | 123 | 40% |
| ROC 모멘텀 n=96, threshold=-0.11 |
2.0% | -88.6% | 0.26 | 0.02 | 2.0x | 293 | 78% |
| ADX / DI 방향성 period=39, threshold=38 |
1.1% | -14.9% | 0.23 | 0.07 | 1.5x | 2 | 1% |
| 볼린저 밴드 돌파 n=68, k=3.5 |
1.2% | -36.8% | 0.16 | 0.03 | 1.5x | 34 | 12% |
| MACD fast=28, slow=51, signal=35 |
-2.0% | -78.7% | 0.12 | -0.03 | 0.5x | 265 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.5% | -92.2% | 0.04 | -0.06 | 0.1x | 565 | 53% |
| Buy and hold | 12.6% | -89.0% | 0.48 | 0.14 | 66.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 71-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 71-day average falls below the 111-day average