Trend-Following Backtester · Guide · backtest 한국어
equity · US
Minerals Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of Minerals Technologies Inc.. 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 6.7%, drawdown -65.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -56.7%, Sharpe 0.37, 71% 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=17, exitN=40 |
6.2% | -56.7% | 0.37 | 0.11 | 7.5x | 133 | 71% |
| Supertrend period=8, mult=4.2 |
2.6% | -53.6% | 0.23 | 0.05 | 2.4x | 149 | 56% |
| SMA 크로스오버 fast=43, slow=143 |
2.4% | -56.8% | 0.22 | 0.04 | 2.3x | 69 | 59% |
| EMA 크로스오버 fast=50, slow=119 |
1.2% | -57.0% | 0.16 | 0.02 | 1.5x | 67 | 60% |
| ADX / DI 방향성 period=27, threshold=30 |
0.4% | -11.2% | 0.15 | 0.04 | 1.1x | 12 | 2% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.6% | -62.1% | 0.14 | 0.01 | 1.2x | 292 | 55% |
| MACD fast=16, slow=59, signal=24 |
-0.3% | -69.5% | 0.09 | -0.00 | 0.9x | 340 | 50% |
| ROC 모멘텀 n=136, threshold=0.04 |
-0.7% | -61.4% | 0.05 | -0.01 | 0.8x | 275 | 51% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
-0.1% | -18.9% | -0.00 | -0.00 | 1.0x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=2.8 |
-2.7% | -69.2% | -0.10 | -0.04 | 0.4x | 152 | 34% |
| Buy and hold | 6.7% | -65.5% | 0.36 | 0.10 | 8.9x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 40 days