Trend-Following Backtester · Guide · backtest 한국어

equity · US

Altria Group, Inc. backtest

10 trend-following strategies were compared on the full daily history of Altria Group, Inc.. 1 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 9.9%, MDD -51.3%).

Data 1970-01-02 ~ 2026-07-31daily bars 14,266 (56.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 9.6%, drawdown -83.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -51.3%, Sharpe 0.53, 86% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 9.9%, MDD -51.3%, exposure 86%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=18, exitN=97
9.9%-51.3%0.530.19210.9x10986%
EMA 크로스오버
fast=52, slow=187
8.8%-56.9%0.530.15117.7x6569%
SMA 크로스오버
fast=15, slow=141
7.1%-55.3%0.450.1349.7x14564%
Supertrend
period=21, mult=4.4
6.6%-60.2%0.450.1136.8x22357%
ROC 모멘텀
n=171, threshold=-0.07
6.7%-79.2%0.410.0838.2x23579%
볼린저 밴드 돌파
n=41, k=2.5
4.2%-44.5%0.400.0910.2x17625%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=18, mult=3.1
3.8%-40.1%0.360.098.0x21029%
ADX / DI 방향성
period=41, threshold=17
2.4%-45.9%0.270.053.7x15019%
MACD
fast=28, slow=48, signal=23
2.0%-58.0%0.200.033.0x48452%
Parabolic SAR
step=0.015, maxStep=0.22
-3.8%-92.7%-0.06-0.040.1x98655%
Buy and hold9.6%-83.8%0.490.11181.3x1100%
1x 10x 100x 1971 1978 1985 1992 1999 2006 2013 2020 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 1971 1978 1985 1992 1999 2006 2013 2020 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -51.3% (1973-01-23 → 1974-10-18), recovered after 3,569 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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