Trend-Following Backtester · Guide · backtest 한국어
equity · US
Quanex Building Products Corporation backtest
10 trend-following strategies were compared on the full daily history of Quanex Building Products 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 3.0%, drawdown -90.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.5%, MDD -93.3%, Sharpe 0.20, 85% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 1.1%, MDD -60.8%, exposure 11%.
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=7, exitN=58 |
-0.5% | -93.3% | 0.20 | -0.01 | 0.8x | 209 | 85% |
| SMA 크로스오버 fast=67, slow=116 |
0.6% | -85.4% | 0.19 | 0.01 | 1.3x | 128 | 56% |
| ADX / DI 방향성 period=21, threshold=28 |
1.1% | -60.8% | 0.15 | 0.02 | 1.7x | 106 | 11% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.6% | -93.6% | 0.15 | -0.01 | 0.7x | 353 | 53% |
| EMA 크로스오버 fast=55, slow=61 |
-0.8% | -92.0% | 0.15 | -0.01 | 0.7x | 128 | 58% |
| Supertrend period=22, mult=2.4 |
-1.4% | -96.2% | 0.13 | -0.01 | 0.5x | 477 | 54% |
| 볼린저 밴드 돌파 n=33, k=2.8 |
0.6% | -77.8% | 0.12 | 0.01 | 1.3x | 128 | 17% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=19, mult=2.5 |
0.3% | -73.5% | 0.11 | 0.00 | 1.1x | 226 | 21% |
| ROC 모멘텀 n=82, threshold=0.14 |
-0.6% | -79.5% | 0.09 | -0.01 | 0.8x | 472 | 30% |
| MACD fast=14, slow=42, signal=19 |
-3.5% | -96.5% | 0.06 | -0.04 | 0.2x | 575 | 51% |
| Buy and hold | 3.0% | -90.5% | 0.30 | 0.03 | 3.9x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 58 days