Trend-Following Backtester · Guide · backtest 한국어
equity · US
Badger Meter, Inc. backtest
10 trend-following strategies were compared on the full daily history of Badger Meter, 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 10.2%, drawdown -68.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -66.1%, Sharpe 0.42, 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=32, exitN=77 |
8.7% | -66.1% | 0.42 | 0.13 | 87.8x | 121 | 74% |
| ROC 모멘텀 n=151, threshold=-0.1 |
5.8% | -75.2% | 0.34 | 0.08 | 20.3x | 308 | 78% |
| SMA 크로스오버 fast=42, slow=122 |
4.1% | -67.0% | 0.28 | 0.06 | 8.6x | 120 | 58% |
| EMA 크로스오버 fast=19, slow=51 |
3.4% | -69.6% | 0.26 | 0.05 | 6.1x | 247 | 55% |
| Supertrend period=16, mult=4 |
2.6% | -81.2% | 0.23 | 0.03 | 3.9x | 366 | 53% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=22, mult=3.4 |
2.5% | -45.5% | 0.23 | 0.05 | 3.7x | 228 | 23% |
| 볼린저 밴드 돌파 n=34, k=2.6 |
1.4% | -64.2% | 0.17 | 0.02 | 2.1x | 230 | 25% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.2% | -75.4% | 0.12 | -0.00 | 0.9x | 389 | 51% |
| MACD fast=16, slow=101, signal=17 |
-0.5% | -86.7% | 0.11 | -0.01 | 0.8x | 568 | 50% |
| ADX / DI 방향성 period=36, threshold=17 |
-1.5% | -71.2% | -0.01 | -0.02 | 0.4x | 182 | 23% |
| Buy and hold | 10.2% | -68.3% | 0.45 | 0.15 | 178.2x | 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 32 days
- Sell — Sell when price breaks below the lowest low of the last 77 days