Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fortive Corporation backtest
10 trend-following strategies were compared on the full daily history of Fortive Corporation. 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 8.2%, MDD -25.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.7%, drawdown -52.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -25.2%, Sharpe 0.48, 83% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 8.2%, MDD -25.2%, exposure 83%).
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=47 |
8.2% | -25.2% | 0.48 | 0.32 | 2.2x | 31 | 83% |
| ROC 모멘텀 n=5, threshold=0.21 |
0.5% | -0.5% | 0.29 | 0.95 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=11, k=2.6 |
1.3% | -10.1% | 0.27 | 0.13 | 1.1x | 24 | 8% |
| Supertrend period=21, mult=5 |
3.1% | -34.3% | 0.26 | 0.09 | 1.4x | 29 | 67% |
| SMA 크로스오버 fast=14, slow=67 |
2.2% | -42.2% | 0.22 | 0.05 | 1.2x | 47 | 61% |
| EMA 크로스오버 fast=41, slow=82 |
2.2% | -37.0% | 0.21 | 0.06 | 1.2x | 21 | 65% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=3.9 |
0.5% | -11.4% | 0.14 | 0.05 | 1.1x | 10 | 8% |
| MACD fast=19, slow=44, signal=21 |
-1.0% | -34.8% | 0.03 | -0.03 | 0.9x | 102 | 50% |
| ADX / DI 방향성 period=26, threshold=37 |
-0.2% | -2.2% | -0.18 | -0.08 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-5.8% | -57.8% | -0.26 | -0.10 | 0.5x | 142 | 52% |
| Buy and hold | 6.7% | -52.8% | 0.38 | 0.13 | 1.9x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 47 days