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Trend-Following Backtester · Guide · backtest 한국어

equity · US

Belden Inc backtest

10 trend-following strategies were compared on the full daily history of Belden Inc. 0 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 7.2%, MDD -56.3%).

Data 1993-11-24 ~ 2026-08-31daily bars 8,246 (32.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-08-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.5%, drawdown -85.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -56.3%, Sharpe 0.39, 49% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 7.2%, MDD -56.3%, exposure 49%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=99, exitN=61
7.2%-56.3%0.390.139.9x4849%
EMA 크로스오버
fast=48, slow=81
7.0%-63.0%0.370.119.1x6959%
ADX / DI 방향성
period=30, threshold=30
3.7%-26.0%0.370.143.3x246%
SMA 크로스오버
fast=24, slow=143
6.4%-63.8%0.360.107.7x6959%
Supertrend
period=14, mult=2.6
6.5%-77.6%0.360.088.0x29254%
MACD
fast=19, slow=42, signal=18
5.6%-70.7%0.330.086.1x36649%
ROC 모멘텀
n=124, threshold=0.06
3.8%-63.8%0.270.063.4x32050%
Parabolic SAR
step=0.025, maxStep=0.16
2.3%-89.0%0.240.032.1x75653%
볼린저 밴드 돌파
n=49, k=3.3
1.2%-53.2%0.160.021.5x329%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=29, mult=2.8
0.5%-77.8%0.140.011.2x14033%
Buy and hold9.5%-85.8%0.430.1119.5x1100%
1x 10x 1994 1999 2004 2009 2014 2019 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -86% 1994 1999 2004 2009 2014 2019 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -56.3% (2000-08-21 → 2004-08-12), recovered after 2,390 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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