Trend-Following Backtester · Guide · backtest 한국어
equity · US
Deere & Company backtest
10 trend-following strategies were compared on the full daily history of Deere & Company. 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 10.5%, drawdown -73.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -63.3%, Sharpe 0.38, 81% 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=76 |
6.9% | -63.3% | 0.38 | 0.11 | 36.4x | 141 | 81% |
| SMA 크로스오버 fast=57, slow=102 |
4.8% | -59.5% | 0.32 | 0.08 | 13.0x | 153 | 58% |
| EMA 크로스오버 fast=50, slow=158 |
4.0% | -74.4% | 0.28 | 0.05 | 8.3x | 97 | 65% |
| ROC 모멘텀 n=56, threshold=-0.09 |
3.5% | -73.7% | 0.26 | 0.05 | 6.4x | 495 | 83% |
| Supertrend period=18, mult=3.8 |
3.1% | -62.3% | 0.25 | 0.05 | 5.3x | 283 | 57% |
| ADX / DI 방향성 period=45, threshold=26 |
0.6% | -15.4% | 0.17 | 0.04 | 1.4x | 18 | 3% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
1.2% | -54.4% | 0.16 | 0.02 | 2.0x | 138 | 24% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=28, mult=4 |
0.8% | -67.8% | 0.13 | 0.01 | 1.6x | 140 | 32% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.8% | -81.9% | 0.07 | -0.01 | 0.7x | 465 | 54% |
| MACD fast=18, slow=38, signal=19 |
-2.7% | -89.0% | -0.02 | -0.03 | 0.2x | 663 | 51% |
| Buy and hold | 10.5% | -73.8% | 0.47 | 0.14 | 220.3x | 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 76 days