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 17.2%, drawdown -70.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.6%, MDD -59.6%, Sharpe 0.60, 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 |
18.6% | -59.6% | 0.60 | 0.31 | 4.9x | 7 | 88% |
| SMA 크로스오버 fast=47, slow=92 |
7.8% | -62.2% | 0.39 | 0.12 | 2.0x | 30 | 59% |
| ADX / DI 방향성 period=20, threshold=28 |
3.8% | -17.5% | 0.38 | 0.21 | 1.4x | 12 | 7% |
| EMA 크로스오버 fast=58, slow=205 |
6.7% | -56.9% | 0.36 | 0.12 | 1.8x | 11 | 63% |
| ROC 모멘텀 n=183, threshold=-0.04 |
5.5% | -51.7% | 0.34 | 0.11 | 1.6x | 67 | 65% |
| Supertrend period=22, mult=4.3 |
4.9% | -65.7% | 0.32 | 0.07 | 1.6x | 36 | 51% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=8, mult=1.9 |
-1.6% | -58.9% | 0.13 | -0.03 | 0.9x | 46 | 41% |
| 볼린저 밴드 돌파 n=52, k=1.1 |
-2.2% | -64.3% | 0.12 | -0.03 | 0.8x | 60 | 46% |
| MACD fast=17, slow=51, signal=13 |
-6.6% | -71.9% | 0.03 | -0.09 | 0.5x | 122 | 52% |
| Parabolic SAR step=0.045, maxStep=0.18 |
-8.4% | -74.0% | -0.01 | -0.11 | 0.4x | 312 | 51% |
| Buy and hold | 17.2% | -70.1% | 0.57 | 0.25 | 4.4x | 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