Trend-Following Backtester · Guide · backtest 한국어
equity · US
Atkore Inc. backtest
10 trend-following strategies were compared on the full daily history of Atkore Inc.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 24.2%, MDD -34.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.1%, drawdown -73.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.2%, MDD -16.6%, Sharpe 0.87, 15% exposure.
CAGR reference leader: Supertrend — CAGR 24.2%, MDD -34.0%, exposure 55%.
Return/drawdown alternative: Supertrend — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 56.5%p (CAGR 24.2%, MDD -34.0%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=69, k=3.4 |
12.2% | -16.6% | 0.87 | 0.73 | 3.2x | 6 | 15% |
| Supertrend period=8, mult=2.9 |
24.2% | -34.0% | 0.84 | 0.71 | 9.0x | 63 | 55% |
| MACD fast=9, slow=47, signal=18 |
18.0% | -51.0% | 0.70 | 0.35 | 5.3x | 134 | 49% |
| Donchian 채널 돌파 entryN=15, exitN=24 |
19.5% | -61.2% | 0.68 | 0.32 | 6.1x | 51 | 66% |
| SMA 크로스오버 fast=6, slow=49 |
16.4% | -61.4% | 0.63 | 0.27 | 4.7x | 66 | 57% |
| ADX / DI 방향성 period=35, threshold=28 |
6.8% | -15.5% | 0.62 | 0.44 | 2.0x | 6 | 8% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=3.9 |
12.2% | -34.7% | 0.61 | 0.35 | 3.2x | 26 | 32% |
| Parabolic SAR step=0.035, maxStep=0.18 |
14.9% | -46.5% | 0.60 | 0.32 | 4.1x | 282 | 52% |
| EMA 크로스오버 fast=18, slow=27 |
12.4% | -62.0% | 0.52 | 0.20 | 3.3x | 60 | 59% |
| ROC 모멘텀 n=81, threshold=-0.03 |
10.7% | -62.6% | 0.47 | 0.17 | 2.8x | 81 | 62% |
| Buy and hold | 16.1% | -73.1% | 0.56 | 0.22 | 4.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 69-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 69-day middle average