Trend-Following Backtester · Guide · backtest 한국어
equity · US
MillerKnoll, Inc. backtest
10 trend-following strategies were compared on the full daily history of MillerKnoll, Inc.. 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 7.2%, MDD -58.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -80.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -58.3%, Sharpe 0.38, 75% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 21.8%p (CAGR 7.2%, MDD -58.3%, exposure 75%).
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=46 |
7.2% | -58.3% | 0.38 | 0.12 | 25.1x | 181 | 75% |
| Supertrend period=9, mult=2.8 |
5.1% | -74.3% | 0.32 | 0.07 | 10.0x | 375 | 53% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
2.6% | -26.1% | 0.31 | 0.10 | 3.2x | 77 | 9% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.4% | -90.9% | 0.22 | 0.03 | 3.0x | 365 | 54% |
| SMA 크로스오버 fast=13, slow=61 |
1.8% | -73.9% | 0.20 | 0.02 | 2.3x | 247 | 56% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=1.2 |
1.4% | -83.3% | 0.17 | 0.02 | 1.9x | 567 | 35% |
| MACD fast=18, slow=37, signal=11 |
0.6% | -90.8% | 0.15 | 0.01 | 1.3x | 643 | 51% |
| ADX / DI 방향성 period=21, threshold=36 |
0.7% | -30.2% | 0.14 | 0.02 | 1.4x | 54 | 5% |
| EMA 크로스오버 fast=32, slow=47 |
-0.4% | -85.9% | 0.11 | -0.00 | 0.8x | 195 | 57% |
| ROC 모멘텀 n=197, threshold=-0.03 |
-1.5% | -88.9% | 0.07 | -0.02 | 0.5x | 363 | 62% |
| Buy and hold | 7.5% | -80.2% | 0.38 | 0.09 | 29.1x | 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 46 days