Trend-Following Backtester · Guide · backtest 한국어
equity · US
Linde plc backtest
10 trend-following strategies were compared on the full daily history of Linde plc. 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 11.6%, MDD -37.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -52.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -37.7%, Sharpe 0.58, 91% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 14.3%p (CAGR 11.6%, MDD -37.7%, exposure 91%).
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=13, exitN=86 |
11.6% | -37.7% | 0.58 | 0.31 | 41.8x | 55 | 91% |
| SMA 크로스오버 fast=78, slow=250 |
8.1% | -68.7% | 0.47 | 0.12 | 14.4x | 29 | 75% |
| ROC 모멘텀 n=113, threshold=-0.09 |
6.7% | -63.2% | 0.40 | 0.11 | 9.1x | 173 | 89% |
| EMA 크로스오버 fast=54, slow=191 |
5.2% | -65.9% | 0.34 | 0.08 | 5.7x | 43 | 79% |
| Supertrend period=37, mult=4.9 |
3.4% | -34.1% | 0.27 | 0.10 | 3.1x | 105 | 66% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=18, mult=3.5 |
0.6% | -7.2% | 0.22 | 0.09 | 1.2x | 2 | 0% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
0.3% | -11.7% | 0.09 | 0.02 | 1.1x | 14 | 2% |
| ADX / DI 방향성 period=22, threshold=34 |
-0.1% | -17.4% | -0.02 | -0.01 | 1.0x | 10 | 1% |
| MACD fast=18, slow=40, signal=24 |
-2.8% | -76.6% | -0.06 | -0.04 | 0.4x | 398 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.1% | -81.8% | -0.07 | -0.04 | 0.3x | 314 | 59% |
| Buy and hold | 12.7% | -52.0% | 0.57 | 0.25 | 60.0x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 86 days