Trend-Following Backtester · Guide · backtest 한국어
equity · US
D/B/A Compass Diversified Holdings Shares of Beneficial Interest backtest
10 trend-following strategies were compared on the full daily history of D/B/A Compass Diversified Holdings Shares of Beneficial Interest. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.2%, MDD -5.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.3%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -35.2%, Sharpe 0.25, 35% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 0.2%, MDD -5.2%, exposure 0%).
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=112, exitN=40 |
2.8% | -35.2% | 0.25 | 0.08 | 1.8x | 31 | 35% |
| ROC 모멘텀 n=169, threshold=0.13 |
1.7% | -38.0% | 0.18 | 0.04 | 1.4x | 111 | 27% |
| EMA 크로스오버 fast=28, slow=70 |
1.2% | -56.5% | 0.16 | 0.02 | 1.3x | 65 | 51% |
| SMA 크로스오버 fast=39, slow=150 |
0.9% | -57.4% | 0.15 | 0.02 | 1.2x | 41 | 48% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
0.2% | -5.2% | 0.14 | 0.03 | 1.0x | 2 | 0% |
| ADX / DI 방향성 period=17, threshold=42 |
0.2% | -8.9% | 0.10 | 0.02 | 1.0x | 6 | 1% |
| Supertrend period=20, mult=4.8 |
-0.8% | -73.3% | 0.07 | -0.01 | 0.9x | 55 | 52% |
| MACD fast=19, slow=54, signal=19 |
-6.3% | -88.9% | -0.05 | -0.07 | 0.3x | 209 | 50% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=2.3 |
-3.0% | -63.8% | -0.09 | -0.05 | 0.5x | 89 | 32% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-9.9% | -92.9% | -0.19 | -0.11 | 0.1x | 266 | 53% |
| Buy and hold | -1.3% | -85.8% | 0.19 | -0.01 | 0.8x | 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 112 days
- Sell — Sell when price breaks below the lowest low of the last 40 days