Trend-Following Backtester · Guide · backtest 한국어
equity · US
DNOW Inc. backtest
10 trend-following strategies were compared on the full daily history of DNOW Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.5%, MDD -5.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -5.1%, drawdown -89.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -5.7%, Sharpe 0.71, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 83.4%p (CAGR 2.5%, MDD -5.7%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=3 |
2.5% | -5.7% | 0.71 | 0.45 | 1.4x | 6 | 2% |
| ROC 모멘텀 n=4, threshold=0.1 |
2.1% | -24.6% | 0.25 | 0.08 | 1.3x | 112 | 4% |
| ADX / DI 방향성 period=14, threshold=38 |
0.9% | -16.3% | 0.15 | 0.06 | 1.1x | 20 | 5% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=24, mult=4 |
0.3% | -14.6% | 0.09 | 0.02 | 1.0x | 10 | 3% |
| Donchian 채널 돌파 entryN=31, exitN=52 |
-2.8% | -60.2% | 0.08 | -0.05 | 0.7x | 39 | 52% |
| SMA 크로스오버 fast=54, slow=126 |
-2.9% | -62.7% | 0.04 | -0.05 | 0.7x | 23 | 43% |
| MACD fast=6, slow=50, signal=9 |
-4.7% | -69.8% | 0.01 | -0.07 | 0.6x | 264 | 51% |
| EMA 크로스오버 fast=40, slow=85 |
-6.1% | -75.1% | -0.07 | -0.08 | 0.5x | 29 | 44% |
| Supertrend period=28, mult=3.1 |
-7.5% | -78.0% | -0.11 | -0.10 | 0.4x | 85 | 45% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-8.7% | -80.3% | -0.13 | -0.11 | 0.3x | 260 | 48% |
| Buy and hold | -5.1% | -89.1% | 0.12 | -0.06 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (3× volatility)
- Sell — Sell when the close falls back to the 11-day middle average