Trend-Following Backtester · Guide · backtest 한국어
equity · US
Commercial Metals Company backtest
10 trend-following strategies were compared on the full daily history of Commercial Metals Company. 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 11.3%, drawdown -83.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -79.8%, Sharpe 0.42, 90% 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=3, exitN=44 |
8.7% | -79.8% | 0.42 | 0.11 | 48.5x | 295 | 90% |
| SMA 크로스오버 fast=54, slow=80 |
5.9% | -49.5% | 0.35 | 0.12 | 14.2x | 169 | 55% |
| Supertrend period=23, mult=4.6 |
4.7% | -77.4% | 0.31 | 0.06 | 8.5x | 196 | 55% |
| EMA 크로스오버 fast=33, slow=35 |
4.1% | -78.5% | 0.29 | 0.05 | 6.5x | 204 | 57% |
| ADX / DI 방향성 period=34, threshold=21 |
2.1% | -40.3% | 0.25 | 0.05 | 2.7x | 86 | 13% |
| MACD fast=27, slow=38, signal=18 |
2.3% | -81.6% | 0.22 | 0.03 | 2.8x | 475 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=22, mult=1.8 |
2.1% | -75.4% | 0.21 | 0.03 | 2.7x | 340 | 36% |
| Parabolic SAR step=0.01, maxStep=0.1 |
1.8% | -87.5% | 0.20 | 0.02 | 2.3x | 595 | 53% |
| 볼린저 밴드 돌파 n=57, k=1.9 |
2.0% | -61.6% | 0.20 | 0.03 | 2.5x | 202 | 35% |
| ROC 모멘텀 n=93, threshold=0.09 |
0.9% | -83.2% | 0.15 | 0.01 | 1.5x | 435 | 39% |
| Buy and hold | 11.3% | -83.9% | 0.47 | 0.13 | 144.4x | 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 3 days
- Sell — Sell when price breaks below the lowest low of the last 44 days