Trend-Following Backtester · Guide · backtest 한국어
equity · US
Church & Dwight Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Church & Dwight Company, 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 14.7%, drawdown -53.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.9%, MDD -46.1%, Sharpe 0.55, 92% 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=17, exitN=168 |
10.9% | -46.1% | 0.55 | 0.24 | 120.2x | 49 | 92% |
| SMA 크로스오버 fast=24, slow=117 |
8.4% | -44.9% | 0.49 | 0.19 | 42.7x | 109 | 67% |
| EMA 크로스오버 fast=18, slow=117 |
7.0% | -44.4% | 0.43 | 0.16 | 22.9x | 127 | 70% |
| ROC 모멘텀 n=100, threshold=-0.04 |
6.2% | -49.4% | 0.38 | 0.13 | 16.1x | 369 | 77% |
| MACD fast=27, slow=48, signal=26 |
5.0% | -46.6% | 0.36 | 0.11 | 9.6x | 369 | 50% |
| Supertrend period=12, mult=3 |
5.0% | -55.3% | 0.35 | 0.09 | 9.6x | 293 | 59% |
| 볼린저 밴드 돌파 n=84, k=1.5 |
3.8% | -37.6% | 0.30 | 0.10 | 5.7x | 179 | 49% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.9% | -60.1% | 0.30 | 0.06 | 5.8x | 387 | 55% |
| ADX / DI 방향성 period=12, threshold=36 |
0.7% | -60.6% | 0.12 | 0.01 | 1.4x | 230 | 16% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=3.2 |
0.4% | -68.8% | 0.10 | 0.01 | 1.2x | 172 | 31% |
| Buy and hold | 14.7% | -53.1% | 0.66 | 0.28 | 568.8x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 168 days