Trend-Following Backtester · Guide · backtest 한국어
equity · US
St. Joe Company (The) backtest
10 trend-following strategies were compared on the full daily history of St. Joe Company (The). 5 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 6.5%, MDD -44.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.1%, drawdown -84.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -44.6%, Sharpe 0.38, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 6.5%, MDD -44.6%, exposure 65%).
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=18, exitN=30 |
6.5% | -44.6% | 0.38 | 0.15 | 10.1x | 169 | 65% |
| MACD fast=27, slow=32, signal=21 |
5.8% | -55.7% | 0.36 | 0.10 | 7.8x | 331 | 51% |
| Supertrend period=8, mult=3.2 |
5.2% | -52.7% | 0.34 | 0.10 | 6.4x | 229 | 52% |
| SMA 크로스오버 fast=19, slow=51 |
5.0% | -48.6% | 0.33 | 0.10 | 5.9x | 181 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.6% | -61.9% | 0.31 | 0.07 | 5.1x | 283 | 53% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=2 |
3.0% | -43.0% | 0.25 | 0.07 | 2.9x | 217 | 35% |
| 볼린저 밴드 돌파 n=46, k=1.4 |
2.9% | -48.4% | 0.25 | 0.06 | 2.9x | 229 | 40% |
| EMA 크로스오버 fast=26, slow=49 |
2.9% | -48.0% | 0.24 | 0.06 | 2.8x | 141 | 55% |
| ROC 모멘텀 n=133, threshold=-0.13 |
2.4% | -83.9% | 0.22 | 0.03 | 2.4x | 201 | 80% |
| ADX / DI 방향성 period=19, threshold=30 |
1.6% | -45.3% | 0.19 | 0.03 | 1.8x | 112 | 10% |
| Buy and hold | 4.1% | -84.8% | 0.29 | 0.05 | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 30 days