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.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 27.1%, MDD -34.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.8%, drawdown -73.1%).
Sharpe leader (same as main): Supertrend — CAGR 27.1%, MDD -34.0%, Sharpe 0.89, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 27.1%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=2.9 |
27.1% | -34.0% | 0.89 | 0.79 | 11.6x | 63 | 55% |
| 볼린저 밴드 돌파 n=69, k=3.4 |
12.0% | -17.2% | 0.86 | 0.70 | 3.2x | 7 | 15% |
| Donchian 채널 돌파 entryN=15, exitN=24 |
22.2% | -61.2% | 0.73 | 0.36 | 7.8x | 51 | 67% |
| MACD fast=9, slow=47, signal=18 |
17.8% | -51.0% | 0.69 | 0.35 | 5.3x | 135 | 49% |
| SMA 크로스오버 fast=6, slow=49 |
16.3% | -61.4% | 0.62 | 0.26 | 4.7x | 67 | 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 |
12.1% | -34.7% | 0.61 | 0.35 | 3.2x | 27 | 32% |
| Parabolic SAR step=0.035, maxStep=0.18 |
14.8% | -46.5% | 0.60 | 0.32 | 4.1x | 283 | 52% |
| ROC 모멘텀 n=81, threshold=-0.03 |
13.3% | -62.6% | 0.54 | 0.21 | 3.6x | 81 | 62% |
| EMA 크로스오버 fast=18, slow=27 |
12.3% | -62.0% | 0.52 | 0.20 | 3.3x | 61 | 59% |
| Buy and hold | 18.8% | -73.1% | 0.60 | 0.26 | 5.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)