Trend-Following Backtester · Guide · backtest 한국어
equity · US
Piper Sandler Companies backtest
10 trend-following strategies were compared on the full daily history of Piper Sandler Companies. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.6%, MDD -55.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.0%, drawdown -77.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -64.4%, Sharpe 0.52, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 12.6%p (CAGR 8.6%, MDD -55.9%, exposure 50%).
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=49, exitN=55 |
11.2% | -64.4% | 0.52 | 0.17 | 11.1x | 42 | 54% |
| Supertrend period=19, mult=3.8 |
8.6% | -55.9% | 0.43 | 0.15 | 6.4x | 106 | 50% |
| SMA 크로스오버 fast=48, slow=93 |
8.3% | -55.8% | 0.42 | 0.15 | 6.1x | 62 | 53% |
| ADX / DI 방향성 period=15, threshold=32 |
3.8% | -27.4% | 0.39 | 0.14 | 2.3x | 80 | 12% |
| 볼린저 밴드 돌파 n=43, k=1.7 |
6.2% | -60.5% | 0.38 | 0.10 | 3.9x | 118 | 38% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=28, mult=3.1 |
5.0% | -39.7% | 0.35 | 0.13 | 3.0x | 76 | 30% |
| EMA 크로스오버 fast=26, slow=33 |
5.8% | -75.3% | 0.34 | 0.08 | 3.6x | 104 | 54% |
| ROC 모멘텀 n=136, threshold=0.02 |
2.2% | -69.4% | 0.22 | 0.03 | 1.6x | 164 | 53% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-0.5% | -91.4% | 0.13 | -0.01 | 0.9x | 302 | 54% |
| MACD fast=24, slow=49, signal=19 |
-2.7% | -90.5% | 0.06 | -0.03 | 0.5x | 221 | 51% |
| Buy and hold | 9.0% | -77.0% | 0.42 | 0.12 | 7.0x | 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 49 days
- Sell — Sell when price breaks below the lowest low of the last 55 days