Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sherwin-Williams Company (The) backtest
10 trend-following strategies were compared on the full daily history of Sherwin-Williams Company (The). 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -53.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.9%, MDD -57.4%, Sharpe 0.63, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 Hold-like · Exposure 98% entryN=1, exitN=149 |
14.9% | -57.4% | 0.63 | 0.26 | 616.9x | 85 | 98% |
| ROC 모멘텀 Hold-like · Exposure 95% n=28, threshold=-0.12 |
11.6% | -65.5% | 0.54 | 0.18 | 160.0x | 211 | 95% |
| SMA 크로스오버 fast=38, slow=219 |
8.2% | -64.7% | 0.46 | 0.13 | 38.0x | 68 | 72% |
| EMA 크로스오버 fast=49, slow=151 |
7.0% | -60.8% | 0.41 | 0.11 | 23.0x | 78 | 74% |
| Supertrend period=8, mult=5 |
5.5% | -56.5% | 0.37 | 0.10 | 11.9x | 149 | 60% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=2.1 |
3.6% | -60.3% | 0.30 | 0.06 | 5.2x | 251 | 46% |
| MACD fast=29, slow=50, signal=20 |
3.9% | -65.5% | 0.29 | 0.06 | 5.8x | 435 | 50% |
| ADX / DI 방향성 period=34, threshold=32 |
1.0% | -14.6% | 0.29 | 0.07 | 1.6x | 8 | 2% |
| 볼린저 밴드 돌파 n=46, k=1.6 |
3.5% | -51.6% | 0.29 | 0.07 | 5.0x | 293 | 45% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.4% | -77.3% | 0.22 | 0.03 | 2.9x | 393 | 57% |
| Buy and hold | 16.5% | -53.5% | 0.67 | 0.31 | 1194.6x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 149 days