Trend-Following Backtester · Guide · backtest 한국어
equity · US
Benchmark Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Benchmark Electronics, Inc.. 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 10.8%, drawdown -75.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -71.6%, Sharpe 0.42, 82% 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=11, exitN=53 |
9.0% | -71.6% | 0.42 | 0.13 | 22.5x | 143 | 82% |
| 볼린저 밴드 돌파 n=77, k=1.6 |
6.6% | -66.9% | 0.38 | 0.10 | 10.0x | 128 | 41% |
| EMA 크로스오버 fast=29, slow=134 |
6.2% | -55.5% | 0.36 | 0.11 | 8.9x | 79 | 58% |
| ADX / DI 방향성 period=32, threshold=37 |
0.8% | -15.6% | 0.30 | 0.05 | 1.3x | 2 | 1% |
| SMA 크로스오버 fast=45, slow=168 |
4.0% | -72.6% | 0.29 | 0.05 | 4.1x | 67 | 57% |
| MACD fast=12, slow=58, signal=23 |
1.7% | -88.2% | 0.20 | 0.02 | 1.8x | 424 | 50% |
| Supertrend period=24, mult=4.2 |
1.3% | -72.2% | 0.19 | 0.02 | 1.6x | 176 | 59% |
| ROC 모멘텀 n=67, threshold=0.04 |
1.0% | -85.3% | 0.17 | 0.01 | 1.4x | 465 | 47% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=3 |
1.3% | -60.3% | 0.16 | 0.02 | 1.6x | 150 | 30% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-5.7% | -98.8% | -0.05 | -0.06 | 0.1x | 823 | 53% |
| Buy and hold | 10.8% | -75.5% | 0.46 | 0.14 | 40.8x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 53 days