Trend-Following Backtester · Guide · backtest 한국어
equity · US
EQT Corporation backtest
10 trend-following strategies were compared on the full daily history of EQT Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.5%, MDD -57.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -91.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -82.3%, Sharpe 0.44, 86% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 9.4%p (CAGR 7.5%, MDD -57.2%, exposure 64%).
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=11, exitN=87 |
9.1% | -82.3% | 0.44 | 0.11 | 56.5x | 133 | 86% |
| SMA 크로스오버 fast=24, slow=112 |
7.5% | -54.6% | 0.43 | 0.14 | 28.2x | 130 | 60% |
| EMA 크로스오버 fast=27, slow=204 |
7.5% | -57.2% | 0.42 | 0.13 | 28.4x | 72 | 64% |
| ROC 모멘텀 n=126, threshold=-0.1 |
7.2% | -79.0% | 0.40 | 0.09 | 25.6x | 227 | 80% |
| Supertrend period=12, mult=5 |
3.9% | -70.9% | 0.28 | 0.05 | 5.8x | 166 | 59% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=16, mult=4 |
2.8% | -39.1% | 0.27 | 0.07 | 3.6x | 96 | 21% |
| 볼린저 밴드 돌파 n=45, k=2.6 |
2.6% | -45.7% | 0.25 | 0.06 | 3.3x | 136 | 24% |
| ADX / DI 방향성 period=27, threshold=31 |
1.2% | -25.8% | 0.20 | 0.04 | 1.7x | 46 | 7% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-2.2% | -94.7% | 0.02 | -0.02 | 0.3x | 935 | 53% |
| MACD fast=19, slow=37, signal=10 |
-4.6% | -97.6% | -0.08 | -0.05 | 0.1x | 717 | 49% |
| Buy and hold | 10.0% | -91.7% | 0.45 | 0.11 | 81.8x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 87 days