Trend-Following Backtester · Guide · backtest 한국어
equity · US
EMCOR Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of EMCOR Group, Inc.. 1 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 22.3%, MDD -52.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 22.0%, drawdown -70.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.3%, MDD -52.4%, Sharpe 0.76, 95% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 22.3%, MDD -52.4%, exposure 95%).
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=105 |
22.3% | -52.4% | 0.76 | 0.43 | 585.6x | 65 | 95% |
| EMA 크로스오버 fast=51, slow=64 |
15.1% | -49.6% | 0.65 | 0.31 | 86.3x | 70 | 70% |
| SMA 크로스오버 fast=36, slow=184 |
14.8% | -55.2% | 0.64 | 0.27 | 78.4x | 51 | 68% |
| ROC 모멘텀 n=98, threshold=-0.1 |
15.8% | -68.4% | 0.64 | 0.23 | 104.1x | 173 | 85% |
| Supertrend period=20, mult=4.7 |
10.8% | -45.0% | 0.53 | 0.24 | 26.0x | 113 | 60% |
| MACD fast=17, slow=51, signal=14 |
6.9% | -41.6% | 0.39 | 0.17 | 8.3x | 384 | 50% |
| 볼린저 밴드 돌파 n=29, k=2.6 |
5.0% | -50.3% | 0.39 | 0.10 | 4.7x | 140 | 25% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.3% | -54.1% | 0.33 | 0.10 | 5.1x | 279 | 58% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=1.8 |
4.8% | -71.1% | 0.33 | 0.07 | 4.4x | 224 | 43% |
| ADX / DI 방향성 period=33, threshold=24 |
1.7% | -36.4% | 0.23 | 0.05 | 1.7x | 44 | 8% |
| Buy and hold | 22.0% | -70.6% | 0.72 | 0.31 | 543.9x | 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 105 days