Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ashland Inc. backtest
10 trend-following strategies were compared on the full daily history of Ashland Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -66.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.5%, drawdown -92.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -66.8%, Sharpe 0.35, 74% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.8%, MDD -74.3%, exposure 94%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 5.6%, MDD -66.8%, exposure 74%).
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=22, exitN=63 |
5.6% | -66.8% | 0.35 | 0.08 | 12.4x | 137 | 74% |
| ROC 모멘텀 n=16, threshold=-0.1 |
5.8% | -74.3% | 0.34 | 0.08 | 13.6x | 271 | 94% |
| EMA 크로스오버 fast=59, slow=314 |
4.6% | -45.0% | 0.33 | 0.10 | 8.1x | 41 | 60% |
| Supertrend period=17, mult=4.7 |
4.0% | -50.2% | 0.29 | 0.08 | 6.0x | 169 | 54% |
| 볼린저 밴드 돌파 n=45, k=3 |
2.1% | -39.7% | 0.25 | 0.05 | 2.6x | 73 | 13% |
| SMA 크로스오버 fast=33, slow=219 |
2.6% | -66.4% | 0.23 | 0.04 | 3.3x | 75 | 60% |
| ADX / DI 방향성 period=27, threshold=26 |
1.7% | -34.3% | 0.22 | 0.05 | 2.2x | 74 | 8% |
| Parabolic SAR step=0.005, maxStep=0.12 |
0.9% | -73.6% | 0.15 | 0.01 | 1.5x | 397 | 54% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=14, mult=2.1 |
0.9% | -75.1% | 0.14 | 0.01 | 1.5x | 265 | 38% |
| MACD fast=15, slow=39, signal=18 |
-0.9% | -83.6% | 0.07 | -0.01 | 0.6x | 563 | 51% |
| Buy and hold | 5.5% | -92.5% | 0.33 | 0.06 | 12.0x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 63 days