Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eaton Corporation, PLC backtest
10 trend-following strategies were compared on the full daily history of Eaton Corporation, PLC. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -70.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -60.9%, Sharpe 0.41, 75% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=24, exitN=61 |
6.8% | -60.9% | 0.41 | 0.11 | 35.2x | 155 | 75% |
| EMA 크로스오버 fast=46, slow=52 |
5.7% | -50.2% | 0.38 | 0.11 | 20.5x | 151 | 64% |
| SMA 크로스오버 fast=42, slow=108 |
5.2% | -56.4% | 0.35 | 0.09 | 15.7x | 121 | 63% |
| Supertrend period=9, mult=3.1 |
3.7% | -43.9% | 0.29 | 0.09 | 7.4x | 410 | 57% |
| ROC 모멘텀 n=149, threshold=-0.11 |
3.8% | -67.9% | 0.28 | 0.06 | 7.4x | 277 | 82% |
| MACD fast=30, slow=71, signal=15 |
3.4% | -44.0% | 0.27 | 0.08 | 6.1x | 486 | 52% |
| Parabolic SAR step=0.01, maxStep=0.2 |
2.3% | -53.8% | 0.22 | 0.04 | 3.5x | 712 | 56% |
| 볼린저 밴드 돌파 n=29, k=1.5 |
1.8% | -46.0% | 0.19 | 0.04 | 2.6x | 492 | 44% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=23, mult=0.8 |
1.6% | -59.8% | 0.18 | 0.03 | 2.3x | 578 | 54% |
| ADX / DI 방향성 period=36, threshold=28 |
0.3% | -25.2% | 0.08 | 0.01 | 1.2x | 34 | 5% |
| Buy and hold | 10.0% | -70.5% | 0.48 | 0.14 | 176.0x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 61 days