Trend-Following Backtester · Guide · backtest 한국어
equity · US
Reliance, Inc. backtest
10 trend-following strategies were compared on the full daily history of Reliance, Inc.. 0 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 15.2%, MDD -53.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -83.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -53.9%, Sharpe 0.60, 87% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 30.0%p (CAGR 15.2%, MDD -53.9%, exposure 87%).
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=12, exitN=77 |
15.2% | -53.9% | 0.60 | 0.28 | 91.3x | 83 | 87% |
| SMA 크로스오버 fast=34, slow=64 |
12.5% | -46.4% | 0.58 | 0.27 | 42.6x | 123 | 60% |
| MACD fast=29, slow=71, signal=39 |
11.9% | -46.3% | 0.57 | 0.26 | 36.3x | 190 | 53% |
| EMA 크로스오버 fast=33, slow=74 |
11.5% | -60.2% | 0.56 | 0.19 | 32.4x | 83 | 63% |
| Supertrend period=18, mult=4.9 |
10.3% | -51.6% | 0.52 | 0.20 | 22.9x | 109 | 58% |
| ROC 모멘텀 n=60, threshold=-0.09 |
11.0% | -60.1% | 0.50 | 0.18 | 28.3x | 269 | 81% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
7.3% | -39.4% | 0.50 | 0.18 | 9.4x | 82 | 29% |
| Parabolic SAR step=0.01, maxStep=0.02 |
9.1% | -58.1% | 0.47 | 0.16 | 16.1x | 178 | 60% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=3.5 |
5.4% | -48.6% | 0.40 | 0.11 | 5.4x | 98 | 29% |
| ADX / DI 방향성 period=21, threshold=24 |
3.0% | -32.1% | 0.31 | 0.09 | 2.6x | 120 | 18% |
| Buy and hold | 15.7% | -83.8% | 0.57 | 0.19 | 105.8x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 77 days