Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sterling Infrastructure, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sterling Infrastructure, Inc.. 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 16.1%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -97.4%, Sharpe 0.37, 78% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -84.7%, exposure 53%.
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=28, exitN=84 |
5.0% | -97.4% | 0.37 | 0.05 | 5.5x | 87 | 78% |
| SMA 크로스오버 fast=54, slow=218 |
6.0% | -84.7% | 0.36 | 0.07 | 7.6x | 59 | 53% |
| MACD fast=25, slow=30, signal=30 |
3.1% | -98.0% | 0.31 | 0.03 | 2.9x | 334 | 51% |
| EMA 크로스오버 fast=21, slow=192 |
3.2% | -95.1% | 0.30 | 0.03 | 3.0x | 86 | 51% |
| ADX / DI 방향성 period=15, threshold=26 |
4.3% | -83.5% | 0.28 | 0.05 | 4.4x | 238 | 25% |
| 볼린저 밴드 돌파 n=49, k=2.2 |
3.8% | -81.1% | 0.27 | 0.05 | 3.7x | 128 | 26% |
| ROC 모멘텀 n=115, threshold=0.13 |
-2.0% | -96.8% | 0.17 | -0.02 | 0.5x | 310 | 40% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=31, mult=3.4 |
-0.7% | -92.5% | 0.16 | -0.01 | 0.8x | 122 | 25% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-5.7% | -98.7% | 0.12 | -0.06 | 0.1x | 260 | 49% |
| Supertrend period=10, mult=5 |
-9.2% | -99.9% | 0.09 | -0.09 | 0.0x | 182 | 55% |
| Buy and hold | 16.1% | -92.5% | 0.56 | 0.17 | 187.1x | 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 28 days
- Sell — Sell when price breaks below the lowest low of the last 84 days