Trend-Following Backtester · Guide · backtest 한국어
equity · US
Delek US Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Delek US Holdings, Inc.. 8 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 11.8%, MDD -42.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.3%, drawdown -87.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.8%, MDD -42.7%, Sharpe 0.64, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.4%, MDD -57.4%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 11.8%, MDD -42.7%, exposure 19%).
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=106, exitN=9 |
11.8% | -42.7% | 0.64 | 0.28 | 9.5x | 59 | 19% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=20, mult=2.9 |
10.5% | -45.8% | 0.59 | 0.23 | 7.6x | 59 | 18% |
| SMA 크로스오버 fast=54, slow=103 |
14.4% | -57.4% | 0.57 | 0.25 | 15.3x | 51 | 50% |
| 볼린저 밴드 돌파 n=26, k=2.3 |
12.2% | -63.6% | 0.57 | 0.19 | 10.2x | 101 | 25% |
| Supertrend period=27, mult=4.2 |
13.2% | -63.3% | 0.53 | 0.21 | 12.3x | 77 | 50% |
| EMA 크로스오버 fast=17, slow=92 |
12.5% | -54.9% | 0.52 | 0.23 | 10.8x | 73 | 53% |
| ROC 모멘텀 n=125, threshold=-0.08 |
11.9% | -78.0% | 0.49 | 0.15 | 9.8x | 143 | 63% |
| Parabolic SAR step=0.02, maxStep=0.24 |
7.7% | -65.4% | 0.38 | 0.12 | 4.5x | 475 | 51% |
| ADX / DI 방향성 period=16, threshold=22 |
6.3% | -69.6% | 0.38 | 0.09 | 3.4x | 169 | 23% |
| MACD fast=18, slow=54, signal=11 |
4.8% | -87.6% | 0.31 | 0.05 | 2.6x | 267 | 52% |
| Buy and hold | 7.3% | -87.3% | 0.40 | 0.08 | 4.2x | 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 106 days
- Sell — Sell when price breaks below the lowest low of the last 9 days