Trend-Following Backtester · Guide · backtest 한국어
equity · US
CRH PLC backtest
10 trend-following strategies were compared on the full daily history of CRH PLC. 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 9.4%, drawdown -72.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -64.9%, Sharpe 0.39, 85% 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=78 |
7.3% | -64.9% | 0.39 | 0.11 | 13.6x | 86 | 85% |
| SMA 크로스오버 fast=16, slow=46 |
3.6% | -65.7% | 0.27 | 0.06 | 3.8x | 216 | 58% |
| EMA 크로스오버 fast=15, slow=169 |
3.5% | -60.1% | 0.26 | 0.06 | 3.6x | 86 | 66% |
| ROC 모멘텀 n=93, threshold=-0.12 |
0.5% | -87.4% | 0.17 | 0.01 | 1.2x | 235 | 84% |
| ADX / DI 방향성 period=28, threshold=18 |
0.7% | -56.5% | 0.12 | 0.01 | 1.3x | 114 | 24% |
| Supertrend period=24, mult=5 |
-0.7% | -80.8% | 0.09 | -0.01 | 0.8x | 166 | 58% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
0.2% | -29.2% | 0.06 | 0.01 | 1.1x | 16 | 6% |
| MACD fast=19, slow=30, signal=30 |
-3.2% | -96.7% | -0.02 | -0.03 | 0.3x | 382 | 51% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=9, mult=1.8 |
-3.6% | -88.9% | -0.08 | -0.04 | 0.3x | 224 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-8.7% | -97.9% | -0.26 | -0.09 | 0.0x | 572 | 56% |
| Buy and hold | 9.4% | -72.8% | 0.43 | 0.13 | 28.0x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 78 days