Trend-Following Backtester · Guide · backtest 한국어
equity · US
BorgWarner Inc. backtest
10 trend-following strategies were compared on the full daily history of BorgWarner Inc.. 1 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 11.3%, MDD -55.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -72.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -55.8%, Sharpe 0.49, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 16.7%p (CAGR 11.3%, MDD -55.8%, exposure 92%).
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=5, exitN=91 |
11.3% | -55.8% | 0.49 | 0.20 | 34.2x | 99 | 92% |
| EMA 크로스오버 fast=54, slow=324 |
7.1% | -56.6% | 0.40 | 0.12 | 9.5x | 29 | 64% |
| Supertrend period=22, mult=3.8 |
6.3% | -56.0% | 0.38 | 0.11 | 7.4x | 182 | 57% |
| SMA 크로스오버 fast=18, slow=51 |
5.5% | -58.8% | 0.35 | 0.09 | 5.8x | 172 | 57% |
| MACD fast=28, slow=46, signal=29 |
5.0% | -73.2% | 0.32 | 0.07 | 5.0x | 258 | 51% |
| 볼린저 밴드 돌파 n=47, k=1.8 |
3.5% | -63.4% | 0.28 | 0.05 | 3.1x | 166 | 38% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=2.3 |
3.4% | -50.6% | 0.27 | 0.07 | 3.0x | 168 | 42% |
| ROC 모멘텀 n=104, threshold=-0.03 |
2.9% | -73.3% | 0.24 | 0.04 | 2.5x | 301 | 66% |
| ADX / DI 방향성 period=13, threshold=22 |
2.4% | -72.8% | 0.22 | 0.03 | 2.2x | 370 | 31% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.5% | -89.0% | 0.01 | -0.03 | 0.4x | 310 | 55% |
| Buy and hold | 10.0% | -72.5% | 0.45 | 0.14 | 23.1x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 91 days