Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corning Incorporated backtest
10 trend-following strategies were compared on the full daily history of Corning Incorporated. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.2%, MDD -47.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.8%, drawdown -99.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.8%, MDD -57.0%, Sharpe 0.67, 74% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 14.2%, MDD -47.9%, exposure 57%).
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=33, exitN=67 |
17.8% | -57.0% | 0.67 | 0.31 | 1477.3x | 84 | 74% |
| Supertrend period=9, mult=4.5 |
14.2% | -47.9% | 0.61 | 0.30 | 370.4x | 160 | 57% |
| SMA 크로스오버 fast=52, slow=162 |
14.4% | -51.5% | 0.61 | 0.28 | 408.6x | 69 | 60% |
| EMA 크로스오버 fast=49, slow=113 |
12.0% | -61.4% | 0.54 | 0.20 | 156.8x | 73 | 61% |
| 볼린저 밴드 돌파 n=76, k=2.2 |
9.1% | -51.0% | 0.49 | 0.18 | 48.6x | 118 | 35% |
| ROC 모멘텀 n=156, threshold=0.05 |
9.7% | -62.4% | 0.48 | 0.16 | 62.5x | 343 | 54% |
| ADX / DI 방향성 period=50, threshold=10 |
7.4% | -57.7% | 0.41 | 0.13 | 23.8x | 314 | 41% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=1.7 |
7.2% | -74.3% | 0.40 | 0.10 | 21.9x | 294 | 47% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.3% | -74.4% | 0.33 | 0.07 | 10.1x | 384 | 56% |
| MACD fast=13, slow=17, signal=12 |
1.7% | -87.1% | 0.20 | 0.02 | 2.1x | 784 | 50% |
| Buy and hold | 9.8% | -99.0% | 0.43 | 0.10 | 63.6x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 67 days