Trend-Following Backtester · Guide · backtest 한국어
equity · US
Compass Minerals Intl Inc backtest
10 trend-following strategies were compared on the full daily history of Compass Minerals Intl 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 3.4%, drawdown -92.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.3%, MDD -88.1%, Sharpe 0.27, 89% 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=9, exitN=96 |
3.3% | -88.1% | 0.27 | 0.04 | 2.1x | 65 | 89% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=11, mult=4 |
1.7% | -20.3% | 0.23 | 0.08 | 1.5x | 12 | 4% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
1.5% | -18.6% | 0.23 | 0.08 | 1.4x | 8 | 4% |
| SMA 크로스오버 fast=42, slow=281 |
2.2% | -74.0% | 0.21 | 0.03 | 1.6x | 23 | 50% |
| EMA 크로스오버 fast=83, slow=165 |
2.2% | -76.9% | 0.21 | 0.03 | 1.6x | 23 | 50% |
| ADX / DI 방향성 period=21, threshold=26 |
1.7% | -32.5% | 0.20 | 0.05 | 1.5x | 44 | 8% |
| ROC 모멘텀 n=146, threshold=-0.01 |
-0.8% | -90.6% | 0.10 | -0.01 | 0.8x | 187 | 56% |
| Supertrend period=18, mult=5 |
-1.0% | -84.9% | 0.09 | -0.01 | 0.8x | 67 | 57% |
| MACD fast=17, slow=55, signal=20 |
-11.4% | -97.7% | -0.31 | -0.12 | 0.1x | 280 | 53% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-11.7% | -97.3% | -0.33 | -0.12 | 0.1x | 422 | 52% |
| Buy and hold | 3.4% | -92.0% | 0.28 | 0.04 | 2.1x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 96 days