Trend-Following Backtester · Guide · backtest 한국어
equity · US
Masco Corporation backtest
10 trend-following strategies were compared on the full daily history of Masco Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -90.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -56.2%, Sharpe 0.34, 61% 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=74, exitN=88 |
5.4% | -56.2% | 0.34 | 0.10 | 11.5x | 65 | 61% |
| Supertrend period=7, mult=5 |
3.5% | -58.4% | 0.26 | 0.06 | 4.9x | 157 | 58% |
| SMA 크로스오버 fast=40, slow=125 |
3.2% | -65.7% | 0.25 | 0.05 | 4.3x | 113 | 59% |
| EMA 크로스오버 fast=38, slow=64 |
3.0% | -55.2% | 0.24 | 0.05 | 3.9x | 147 | 60% |
| ADX / DI 방향성 period=37, threshold=32 |
0.2% | -9.9% | 0.16 | 0.02 | 1.1x | 4 | 0% |
| ROC 모멘텀 n=121, threshold=-0.02 |
0.0% | -72.3% | 0.12 | 0.00 | 1.0x | 399 | 64% |
| MACD fast=17, slow=46, signal=16 |
-0.4% | -86.6% | 0.10 | -0.00 | 0.8x | 546 | 50% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
-1.5% | -83.3% | 0.03 | -0.02 | 0.5x | 404 | 45% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=1.7 |
-2.6% | -86.3% | -0.03 | -0.03 | 0.3x | 318 | 43% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.2% | -98.4% | -0.05 | -0.04 | 0.1x | 794 | 52% |
| Buy and hold | 7.6% | -90.3% | 0.38 | 0.08 | 29.6x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 88 days