Trend-Following Backtester · Guide · backtest 한국어
equity · US
Warrior Met Coal, Inc. backtest
10 trend-following strategies were compared on the full daily history of Warrior Met Coal, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 21.0%, drawdown -70.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.4%, MDD -59.6%, Sharpe 0.66, 88% 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=23, exitN=269 |
22.4% | -59.6% | 0.66 | 0.38 | 6.7x | 7 | 88% |
| EMA 크로스오버 fast=58, slow=205 |
10.2% | -56.9% | 0.45 | 0.18 | 2.5x | 11 | 63% |
| ROC 모멘텀 n=183, threshold=-0.04 |
9.0% | -51.7% | 0.42 | 0.17 | 2.2x | 67 | 65% |
| SMA 크로스오버 fast=47, slow=92 |
7.7% | -62.2% | 0.39 | 0.12 | 2.0x | 30 | 58% |
| ADX / DI 방향성 period=20, threshold=28 |
3.7% | -17.5% | 0.37 | 0.21 | 1.4x | 12 | 7% |
| Supertrend period=22, mult=4.3 |
6.2% | -65.7% | 0.35 | 0.09 | 1.8x | 37 | 51% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=8, mult=1.9 |
-0.3% | -58.9% | 0.17 | -0.00 | 1.0x | 47 | 42% |
| 볼린저 밴드 돌파 n=52, k=1.1 |
-1.2% | -64.3% | 0.15 | -0.02 | 0.9x | 61 | 46% |
| MACD fast=17, slow=51, signal=13 |
-3.4% | -71.9% | 0.11 | -0.05 | 0.7x | 123 | 52% |
| Parabolic SAR step=0.045, maxStep=0.18 |
-6.7% | -74.0% | 0.04 | -0.09 | 0.5x | 315 | 51% |
| Buy and hold | 21.0% | -70.1% | 0.63 | 0.30 | 6.0x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 269 days