Trend-Following Backtester · Guide · backtest 한국어

equity · US

Archer-Daniels-Midland Company backtest

10 trend-following strategies were compared on the full daily history of Archer-Daniels-Midland Company. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.4%, drawdown -68.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -56.4%, Sharpe 0.40, 72% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=18, exitN=41
7.2%-56.4%0.400.1324.6x16572%
SMA 크로스오버
fast=8, slow=263
6.2%-50.8%0.390.1216.4x9359%
EMA 크로스오버
fast=12, slow=219
5.2%-45.0%0.340.1210.5x9960%
MACD
fast=45, slow=54, signal=28
4.5%-49.1%0.310.097.5x27752%
Supertrend
period=24, mult=4.5
4.1%-65.8%0.290.066.5x15756%
ADX / DI 방향성
period=39, threshold=28
1.3%-12.0%0.290.111.8x103%
볼린저 밴드 돌파
n=75, k=1.6
1.3%-56.3%0.160.021.8x18741%
ROC 모멘텀
n=92, threshold=0
-1.0%-79.5%0.06-0.010.6x46957%
Parabolic SAR
step=0.005, maxStep=0.36
-2.7%-83.7%-0.01-0.030.3x40354%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=15, mult=4
-1.1%-55.6%-0.03-0.020.6x10718%
Buy and hold8.4%-68.3%0.420.1242.7x1100%
1x 10x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -56.4% (1997-10-07 → 2003-05-07), recovered after 3,011 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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