Trend-Following Backtester · Guide · backtest 한국어
equity · US
Woodward, Inc. backtest
10 trend-following strategies were compared on the full daily history of Woodward, 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 15.1%, drawdown -83.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -51.5%, Sharpe 0.51, 74% 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=43, exitN=74 |
11.3% | -51.5% | 0.51 | 0.22 | 32.0x | 56 | 74% |
| MACD fast=24, slow=47, signal=41 |
10.0% | -41.2% | 0.51 | 0.24 | 21.7x | 212 | 51% |
| SMA 크로스오버 fast=9, slow=112 |
10.1% | -51.5% | 0.49 | 0.20 | 22.5x | 114 | 63% |
| EMA 크로스오버 fast=41, slow=183 |
9.9% | -60.6% | 0.47 | 0.16 | 21.6x | 45 | 70% |
| ROC 모멘텀 n=136, threshold=-0.07 |
9.2% | -65.6% | 0.44 | 0.14 | 17.3x | 214 | 78% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
3.8% | -30.7% | 0.39 | 0.12 | 3.4x | 34 | 9% |
| Supertrend period=9, mult=3.5 |
6.8% | -49.2% | 0.38 | 0.14 | 8.4x | 170 | 58% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=21, mult=2.2 |
4.9% | -60.1% | 0.32 | 0.08 | 4.7x | 140 | 51% |
| ADX / DI 방향성 period=32, threshold=26 |
2.2% | -40.6% | 0.26 | 0.05 | 2.0x | 32 | 9% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.6% | -83.9% | 0.07 | -0.02 | 0.6x | 442 | 54% |
| Buy and hold | 15.1% | -83.3% | 0.56 | 0.18 | 94.4x | 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 43 days
- Sell — Sell when price breaks below the lowest low of the last 74 days