Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dana Incorporated backtest
10 trend-following strategies were compared on the full daily history of Dana Incorporated. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.4%, MDD -51.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.1%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.1%, MDD -53.5%, Sharpe 0.72, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 15.4%, MDD -51.8%, exposure 46%).
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=117, exitN=70 |
21.1% | -53.5% | 0.72 | 0.39 | 35.5x | 18 | 39% |
| ADX / DI 방향성 period=39, threshold=13 |
19.3% | -59.8% | 0.65 | 0.32 | 27.0x | 100 | 30% |
| ROC 모멘텀 n=74, threshold=0.01 |
18.5% | -76.1% | 0.61 | 0.24 | 23.9x | 224 | 51% |
| EMA 크로스오버 fast=12, slow=43 |
18.6% | -61.5% | 0.60 | 0.30 | 24.0x | 105 | 53% |
| SMA 크로스오버 fast=52, slow=129 |
16.2% | -68.9% | 0.60 | 0.24 | 16.5x | 34 | 51% |
| Supertrend period=12, mult=3.8 |
16.3% | -70.7% | 0.56 | 0.23 | 16.8x | 91 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=1.1 |
15.4% | -51.8% | 0.55 | 0.30 | 14.4x | 133 | 46% |
| 볼린저 밴드 돌파 n=43, k=1 |
12.4% | -65.7% | 0.48 | 0.19 | 8.9x | 145 | 44% |
| Parabolic SAR step=0.01, maxStep=0.08 |
10.1% | -78.5% | 0.43 | 0.13 | 6.1x | 233 | 51% |
| MACD fast=17, slow=45, signal=18 |
5.0% | -74.7% | 0.33 | 0.07 | 2.5x | 223 | 52% |
| Buy and hold | 4.1% | -98.6% | 0.39 | 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 117 days
- Sell — Sell when price breaks below the lowest low of the last 70 days