Trend-Following Backtester · Guide · backtest 한국어
equity · US
Greif Inc. backtest
10 trend-following strategies were compared on the full daily history of Greif 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 5.9%, drawdown -66.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.5%, MDD -54.2%, Sharpe 0.27, 49% 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=100, exitN=70 |
3.5% | -54.2% | 0.27 | 0.06 | 2.8x | 47 | 49% |
| SMA 크로스오버 fast=41, slow=135 |
1.6% | -58.6% | 0.19 | 0.03 | 1.6x | 63 | 55% |
| ADX / DI 방향성 period=32, threshold=21 |
1.1% | -37.4% | 0.16 | 0.03 | 1.4x | 52 | 11% |
| EMA 크로스오버 fast=45, slow=113 |
1.0% | -59.3% | 0.16 | 0.02 | 1.3x | 65 | 57% |
| Supertrend period=23, mult=4.5 |
0.1% | -66.8% | 0.13 | 0.00 | 1.0x | 115 | 56% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=21, mult=4 |
0.7% | -33.7% | 0.13 | 0.02 | 1.3x | 45 | 10% |
| ROC 모멘텀 n=123, threshold=-0.03 |
-3.1% | -77.7% | -0.00 | -0.04 | 0.4x | 327 | 63% |
| 볼린저 밴드 돌파 n=29, k=3.1 |
-0.9% | -44.5% | -0.06 | -0.02 | 0.8x | 51 | 8% |
| MACD fast=16, slow=38, signal=19 |
-7.7% | -95.0% | -0.19 | -0.08 | 0.1x | 393 | 52% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-8.5% | -97.0% | -0.24 | -0.09 | 0.1x | 635 | 51% |
| Buy and hold | 5.9% | -66.2% | 0.34 | 0.09 | 5.7x | 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 100 days
- Sell — Sell when price breaks below the lowest low of the last 70 days