Trend-Following Backtester · Guide · backtest 한국어
equity · US
Crane NXT, Co. backtest
10 trend-following strategies were compared on the full daily history of Crane NXT, Co.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.2%, MDD -59.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -77.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -59.3%, Sharpe 0.45, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 9.2%, MDD -59.3%, exposure 89%).
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=6, exitN=68 |
9.2% | -59.3% | 0.45 | 0.15 | 59.1x | 171 | 89% |
| ROC 모멘텀 n=69, threshold=-0.07 |
4.4% | -64.1% | 0.30 | 0.07 | 7.3x | 383 | 77% |
| SMA 크로스오버 fast=53, slow=115 |
3.7% | -60.8% | 0.27 | 0.06 | 5.3x | 105 | 61% |
| EMA 크로스오버 fast=43, slow=44 |
3.1% | -66.9% | 0.25 | 0.05 | 4.1x | 155 | 60% |
| 볼린저 밴드 돌파 n=56, k=2.7 |
2.2% | -40.2% | 0.24 | 0.06 | 2.8x | 102 | 22% |
| Supertrend period=8, mult=3.4 |
2.6% | -59.2% | 0.22 | 0.04 | 3.2x | 293 | 57% |
| MACD fast=18, slow=33, signal=15 |
2.0% | -59.7% | 0.20 | 0.03 | 2.6x | 610 | 50% |
| ADX / DI 방향성 period=30, threshold=25 |
0.2% | -36.8% | 0.06 | 0.00 | 1.1x | 68 | 8% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.2% | -71.6% | 0.06 | -0.02 | 0.6x | 389 | 53% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=24, mult=1.7 |
-0.9% | -67.9% | 0.05 | -0.01 | 0.7x | 303 | 47% |
| Buy and hold | 8.5% | -77.7% | 0.41 | 0.11 | 43.7x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 68 days