Trend-Following Backtester · Guide · backtest 한국어
equity · US
A.O. Smith Corporation backtest
10 trend-following strategies were compared on the full daily history of A.O. Smith Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -49.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -67.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -60.7%, Sharpe 0.48, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 6.6%p (CAGR 8.3%, MDD -49.8%, exposure 60%).
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=27, exitN=55 |
9.2% | -60.7% | 0.48 | 0.15 | 42.8x | 123 | 71% |
| EMA 크로스오버 fast=15, slow=72 |
8.3% | -49.8% | 0.47 | 0.17 | 30.4x | 140 | 60% |
| SMA 크로스오버 fast=32, slow=167 |
7.2% | -50.0% | 0.42 | 0.14 | 19.3x | 78 | 60% |
| Supertrend period=28, mult=4 |
6.5% | -61.4% | 0.39 | 0.11 | 14.6x | 261 | 59% |
| 볼린저 밴드 돌파 n=54, k=0.8 |
5.7% | -60.0% | 0.37 | 0.09 | 10.7x | 317 | 51% |
| ROC 모멘텀 n=127, threshold=0.03 |
5.0% | -60.2% | 0.34 | 0.08 | 8.2x | 312 | 57% |
| MACD fast=30, slow=84, signal=18 |
4.2% | -59.6% | 0.30 | 0.07 | 5.9x | 347 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=1.3 |
3.8% | -58.4% | 0.28 | 0.06 | 4.9x | 338 | 52% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.3% | -71.9% | 0.17 | 0.02 | 1.7x | 359 | 56% |
| ADX / DI 방향성 period=22, threshold=16 |
0.5% | -68.2% | 0.12 | 0.01 | 1.2x | 418 | 41% |
| Buy and hold | 9.8% | -67.2% | 0.45 | 0.15 | 55.2x | 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 27 days
- Sell — Sell when price breaks below the lowest low of the last 55 days