Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eastman Chemical Company backtest
10 trend-following strategies were compared on the full daily history of Eastman Chemical Company. 4 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 5.3%, MDD -45.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.6%, drawdown -76.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -45.8%, Sharpe 0.34, 68% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 5.3%, MDD -45.8%, exposure 68%).
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=29, exitN=59 |
5.3% | -45.8% | 0.34 | 0.12 | 5.5x | 83 | 68% |
| SMA 크로스오버 fast=18, slow=80 |
4.8% | -48.9% | 0.33 | 0.10 | 4.6x | 131 | 56% |
| Supertrend period=8, mult=4.5 |
4.6% | -51.9% | 0.32 | 0.09 | 4.4x | 120 | 54% |
| EMA 크로스오버 fast=31, slow=51 |
4.4% | -51.2% | 0.31 | 0.09 | 4.1x | 111 | 58% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=2 |
1.2% | -58.6% | 0.15 | 0.02 | 1.5x | 184 | 39% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
0.4% | -22.7% | 0.11 | 0.02 | 1.1x | 18 | 2% |
| ROC 모멘텀 n=125, threshold=-0.04 |
-0.6% | -69.5% | 0.08 | -0.01 | 0.8x | 235 | 66% |
| ADX / DI 방향성 period=18, threshold=25 |
-0.1% | -46.0% | 0.05 | -0.00 | 1.0x | 146 | 14% |
| MACD fast=18, slow=56, signal=15 |
-1.8% | -77.8% | 0.01 | -0.02 | 0.5x | 371 | 48% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-3.1% | -74.8% | -0.04 | -0.04 | 0.4x | 580 | 52% |
| Buy and hold | 3.6% | -76.8% | 0.27 | 0.05 | 3.2x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 59 days