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 6.6%, MDD -44.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.0%, drawdown -84.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -44.6%, Sharpe 0.39, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 6.6%, 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 |
6.6% | -44.6% | 0.39 | 0.15 | 10.3x | 168 | 65% |
| MACD fast=27, slow=32, signal=21 |
5.6% | -55.7% | 0.35 | 0.10 | 7.4x | 331 | 50% |
| Supertrend period=8, mult=3.2 |
5.3% | -52.7% | 0.35 | 0.10 | 6.5x | 228 | 52% |
| SMA 크로스오버 fast=19, slow=51 |
5.1% | -48.6% | 0.34 | 0.10 | 6.1x | 180 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.4% | -61.9% | 0.30 | 0.07 | 4.8x | 283 | 53% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=2 |
3.1% | -43.0% | 0.26 | 0.07 | 3.0x | 216 | 35% |
| 볼린저 밴드 돌파 n=46, k=1.4 |
3.0% | -48.4% | 0.25 | 0.06 | 2.9x | 228 | 40% |
| EMA 크로스오버 fast=26, slow=49 |
3.0% | -48.0% | 0.25 | 0.06 | 3.0x | 140 | 55% |
| ROC 모멘텀 n=133, threshold=-0.13 |
2.2% | -83.9% | 0.22 | 0.03 | 2.2x | 201 | 80% |
| ADX / DI 방향성 period=19, threshold=30 |
1.6% | -45.3% | 0.19 | 0.03 | 1.8x | 112 | 10% |
| Buy and hold | 4.0% | -84.8% | 0.28 | 0.05 | 4.1x | 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