Trend-Following Backtester · Guide · backtest 한국어
equity · US
Patrick Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Patrick Industries, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 13.9%, drawdown -98.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.7%, MDD -81.8%, Sharpe 0.51, 73% 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=22, exitN=60 |
14.7% | -81.8% | 0.51 | 0.18 | 568.1x | 132 | 73% |
| ADX / DI 방향성 period=48, threshold=34 |
6.7% | -45.0% | 0.49 | 0.15 | 20.1x | 6 | 7% |
| SMA 크로스오버 fast=38, slow=219 |
12.1% | -80.0% | 0.48 | 0.15 | 199.8x | 68 | 57% |
| Supertrend period=6, mult=4.8 |
11.1% | -90.5% | 0.45 | 0.12 | 129.4x | 176 | 62% |
| 볼린저 밴드 돌파 n=73, k=1.5 |
10.6% | -87.9% | 0.44 | 0.12 | 107.5x | 190 | 40% |
| EMA 크로스오버 fast=26, slow=101 |
10.1% | -71.3% | 0.43 | 0.14 | 86.8x | 114 | 57% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=35, mult=2.9 |
9.3% | -79.1% | 0.41 | 0.12 | 61.3x | 156 | 35% |
| Parabolic SAR step=0.015, maxStep=0.2 |
6.1% | -98.0% | 0.35 | 0.06 | 15.3x | 680 | 51% |
| MACD fast=19, slow=54, signal=23 |
1.2% | -99.5% | 0.26 | 0.01 | 1.7x | 483 | 51% |
| ROC 모멘텀 n=125, threshold=0.09 |
2.6% | -94.3% | 0.26 | 0.03 | 3.3x | 478 | 45% |
| Buy and hold | 13.9% | -98.7% | 0.52 | 0.14 | 415.8x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 60 days