Trend-Following Backtester · Guide · backtest 한국어
equity · US
Expeditors International of Washington, Inc. backtest
10 trend-following strategies were compared on the full daily history of Expeditors International of Washington, Inc.. 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 17.9%, drawdown -58.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.0%, MDD -72.0%, Sharpe 0.51, 89% 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=12, exitN=73 |
12.0% | -72.0% | 0.51 | 0.17 | 115.0x | 107 | 89% |
| EMA 크로스오버 fast=48, slow=288 |
10.7% | -62.6% | 0.49 | 0.17 | 70.1x | 45 | 79% |
| ROC 모멘텀 n=226, threshold=-0.11 |
10.9% | -61.7% | 0.49 | 0.18 | 76.2x | 167 | 86% |
| SMA 크로스오버 fast=48, slow=190 |
9.5% | -57.1% | 0.46 | 0.17 | 44.3x | 67 | 73% |
| 볼린저 밴드 돌파 n=13, k=3.3 |
1.1% | -6.0% | 0.37 | 0.19 | 1.6x | 6 | 1% |
| Supertrend period=18, mult=4.9 |
2.8% | -73.4% | 0.24 | 0.04 | 3.2x | 131 | 64% |
| ADX / DI 방향성 period=31, threshold=22 |
2.0% | -35.2% | 0.21 | 0.06 | 2.3x | 102 | 15% |
| Parabolic SAR step=0.015, maxStep=0.06 |
2.0% | -85.5% | 0.20 | 0.02 | 2.3x | 568 | 55% |
| MACD fast=24, slow=45, signal=15 |
0.8% | -77.1% | 0.15 | 0.01 | 1.4x | 462 | 50% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=23, mult=3.6 |
0.3% | -10.3% | 0.10 | 0.03 | 1.1x | 14 | 1% |
| Buy and hold | 17.9% | -58.8% | 0.64 | 0.30 | 972.0x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 73 days