Trend-Following Backtester · Guide · backtest 한국어
equity · US
International Business Machines Corporation backtest
10 trend-following strategies were compared on the full daily history of International Business Machines Corporation. 0 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 4.0%, MDD -52.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -76.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -52.2%, Sharpe 0.30, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 24.4%p (CAGR 4.0%, MDD -52.2%, exposure 63%).
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=54 |
4.0% | -52.2% | 0.30 | 0.08 | 9.1x | 154 | 63% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.11 |
3.2% | -79.1% | 0.25 | 0.04 | 5.9x | 83 | 99% |
| Supertrend period=26, mult=4.8 |
1.9% | -58.7% | 0.20 | 0.03 | 2.9x | 204 | 54% |
| 볼린저 밴드 돌파 n=45, k=2.1 |
1.7% | -69.1% | 0.19 | 0.02 | 2.5x | 260 | 33% |
| SMA 크로스오버 fast=14, slow=179 |
1.3% | -82.5% | 0.16 | 0.02 | 2.1x | 162 | 58% |
| EMA 크로스오버 fast=18, slow=199 |
1.2% | -84.8% | 0.16 | 0.01 | 2.0x | 142 | 59% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=3.4 |
0.8% | -59.1% | 0.13 | 0.01 | 1.6x | 174 | 19% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.7% | -63.9% | 0.12 | 0.01 | 1.5x | 500 | 52% |
| MACD fast=16, slow=33, signal=16 |
-0.1% | -80.1% | 0.08 | -0.00 | 1.0x | 722 | 49% |
| ADX / DI 방향성 period=30, threshold=34 |
-0.0% | -11.9% | -0.00 | -0.00 | 1.0x | 14 | 1% |
| Buy and hold | 4.6% | -76.5% | 0.30 | 0.06 | 12.8x | 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 54 days