Trend-Following Backtester · Guide · backtest 한국어
equity · US
Scholastic Corporation backtest
10 trend-following strategies were compared on the full daily history of Scholastic Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.1%, drawdown -83.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.8%, MDD -80.7%, Sharpe 0.22, 77% 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=19, exitN=91 |
1.8% | -80.7% | 0.22 | 0.02 | 1.9x | 87 | 77% |
| SMA 크로스오버 fast=58, slow=157 |
1.8% | -65.3% | 0.19 | 0.03 | 1.8x | 67 | 55% |
| EMA 크로스오버 fast=24, slow=30 |
1.5% | -64.6% | 0.18 | 0.02 | 1.7x | 183 | 54% |
| 볼린저 밴드 돌파 n=103, k=2 |
1.2% | -55.5% | 0.16 | 0.02 | 1.5x | 72 | 35% |
| ROC 모멘텀 n=148, threshold=-0.02 |
0.6% | -78.5% | 0.15 | 0.01 | 1.2x | 251 | 60% |
| Supertrend period=21, mult=3 |
-0.8% | -66.0% | 0.10 | -0.01 | 0.8x | 222 | 53% |
| ADX / DI 방향성 period=25, threshold=39 |
-0.1% | -20.7% | -0.00 | -0.00 | 1.0x | 8 | 1% |
| MACD fast=19, slow=57, signal=19 |
-4.6% | -86.2% | -0.05 | -0.05 | 0.2x | 354 | 51% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=1.1 |
-3.4% | -84.5% | -0.05 | -0.04 | 0.3x | 288 | 45% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-4.7% | -90.0% | -0.05 | -0.05 | 0.2x | 464 | 54% |
| Buy and hold | 3.1% | -83.4% | 0.27 | 0.04 | 2.9x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 91 days