Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avery Dennison Corporation backtest
10 trend-following strategies were compared on the full daily history of Avery Dennison Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -77.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.9%, MDD -79.7%, Sharpe 0.28, 74% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=33, exitN=78 |
3.9% | -79.7% | 0.28 | 0.05 | 7.5x | 115 | 74% |
| SMA 크로스오버 fast=29, slow=173 |
1.4% | -73.1% | 0.17 | 0.02 | 2.1x | 118 | 59% |
| EMA 크로스오버 fast=52, slow=210 |
1.1% | -70.3% | 0.16 | 0.02 | 1.8x | 86 | 64% |
| MACD fast=33, slow=45, signal=27 |
0.5% | -82.4% | 0.13 | 0.01 | 1.3x | 409 | 51% |
| Supertrend period=25, mult=5 |
-0.1% | -80.5% | 0.10 | -0.00 | 0.9x | 209 | 58% |
| 볼린저 밴드 돌파 n=51, k=2.7 |
0.4% | -48.4% | 0.10 | 0.01 | 1.3x | 121 | 20% |
| ROC 모멘텀 n=127, threshold=-0.04 |
-2.1% | -88.6% | 0.01 | -0.02 | 0.3x | 474 | 68% |
| ADX / DI 방향성 period=36, threshold=17 |
-0.9% | -57.0% | -0.02 | -0.02 | 0.6x | 184 | 21% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=24, mult=3.6 |
-0.9% | -74.0% | -0.03 | -0.01 | 0.6x | 164 | 19% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-2.7% | -86.1% | -0.03 | -0.03 | 0.2x | 679 | 55% |
| Buy and hold | 6.7% | -77.9% | 0.37 | 0.09 | 32.8x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 78 days