Trend-Following Backtester · Guide · backtest 한국어
equity · US
Donaldson Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Donaldson Company, 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 12.5%, drawdown -59.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -66.5%, Sharpe 0.47, 92% 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=5, exitN=71 |
9.2% | -66.5% | 0.47 | 0.14 | 60.8x | 165 | 92% |
| ROC 모멘텀 n=125, threshold=-0.12 |
7.8% | -61.8% | 0.43 | 0.13 | 33.2x | 169 | 89% |
| SMA 크로스오버 fast=34, slow=212 |
5.8% | -56.6% | 0.37 | 0.10 | 13.6x | 73 | 68% |
| EMA 크로스오버 fast=57, slow=196 |
5.6% | -59.4% | 0.36 | 0.09 | 12.6x | 63 | 73% |
| Supertrend period=10, mult=2.8 |
4.4% | -66.8% | 0.31 | 0.07 | 7.2x | 405 | 56% |
| Parabolic SAR step=0.01, maxStep=0.08 |
3.8% | -75.7% | 0.28 | 0.05 | 5.5x | 562 | 55% |
| MACD fast=17, slow=27, signal=20 |
2.9% | -79.2% | 0.24 | 0.04 | 3.8x | 588 | 51% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=1.8 |
2.4% | -59.9% | 0.22 | 0.04 | 3.0x | 303 | 45% |
| 볼린저 밴드 돌파 n=28, k=2.1 |
2.1% | -62.0% | 0.21 | 0.03 | 2.7x | 320 | 32% |
| ADX / DI 방향성 period=13, threshold=31 |
-0.2% | -72.9% | 0.04 | -0.00 | 0.9x | 248 | 16% |
| Buy and hold | 12.5% | -59.8% | 0.56 | 0.21 | 234.6x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 71 days