Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intel Corporation backtest
10 trend-following strategies were compared on the full daily history of Intel 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 10.2%, MDD -50.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -83.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -50.7%, Sharpe 0.49, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.3%, MDD -64.8%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 33.1%p (CAGR 10.2%, MDD -50.7%, exposure 49%).
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=93, exitN=65 |
10.2% | -50.7% | 0.49 | 0.20 | 91.4x | 77 | 49% |
| SMA 크로스오버 fast=57, slow=144 |
10.3% | -64.8% | 0.47 | 0.16 | 95.1x | 85 | 57% |
| EMA 크로스오버 fast=51, slow=81 |
8.7% | -68.0% | 0.43 | 0.13 | 47.7x | 107 | 58% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
5.4% | -46.9% | 0.42 | 0.11 | 11.4x | 44 | 11% |
| ROC 모멘텀 n=133, threshold=0.07 |
6.7% | -80.5% | 0.37 | 0.08 | 20.0x | 357 | 49% |
| Supertrend period=24, mult=2.8 |
6.2% | -74.9% | 0.35 | 0.08 | 16.3x | 394 | 53% |
| ADX / DI 방향성 period=17, threshold=29 |
4.1% | -59.0% | 0.34 | 0.07 | 6.4x | 134 | 13% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=21, mult=4 |
3.8% | -63.4% | 0.30 | 0.06 | 5.7x | 110 | 19% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.7% | -87.1% | 0.20 | 0.02 | 2.2x | 416 | 53% |
| MACD fast=18, slow=41, signal=23 |
0.5% | -93.9% | 0.16 | 0.01 | 1.3x | 518 | 52% |
| Buy and hold | 12.9% | -83.9% | 0.50 | 0.15 | 275.7x | 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 93 days
- Sell — Sell when price breaks below the lowest low of the last 65 days