Trend-Following Backtester · Guide · backtest 한국어
equity · US
CF Industries Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of CF Industries Holdings, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.1%, MDD -45.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.1%, drawdown -76.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.2%, MDD -50.8%, Sharpe 0.76, 67% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 20.1%, MDD -45.9%, exposure 60%).
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=45 |
21.2% | -50.8% | 0.76 | 0.42 | 57.3x | 53 | 67% |
| SMA 크로스오버 fast=9, slow=70 |
20.1% | -45.9% | 0.74 | 0.44 | 47.7x | 101 | 60% |
| EMA 크로스오버 fast=17, slow=36 |
18.3% | -59.1% | 0.69 | 0.31 | 34.3x | 99 | 60% |
| ROC 모멘텀 n=98, threshold=-0.1 |
19.0% | -55.0% | 0.67 | 0.34 | 38.6x | 111 | 79% |
| Supertrend period=23, mult=4.7 |
12.4% | -52.8% | 0.54 | 0.23 | 11.7x | 67 | 57% |
| ADX / DI 방향성 period=36, threshold=16 |
8.5% | -47.9% | 0.52 | 0.18 | 5.6x | 58 | 20% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
8.7% | -55.8% | 0.44 | 0.16 | 5.8x | 127 | 47% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=11, mult=1.3 |
8.1% | -57.1% | 0.42 | 0.14 | 5.2x | 139 | 52% |
| MACD fast=16, slow=33, signal=19 |
7.1% | -83.7% | 0.38 | 0.09 | 4.3x | 253 | 52% |
| Parabolic SAR step=0.01, maxStep=0.42 |
5.6% | -69.8% | 0.33 | 0.08 | 3.2x | 297 | 53% |
| Buy and hold | 19.1% | -76.8% | 0.62 | 0.25 | 40.0x | 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 45 days