Trend-Following Backtester · Guide · backtest 한국어
equity · US
SiteOne Landscape Supply, Inc. backtest
10 trend-following strategies were compared on the full daily history of SiteOne Landscape Supply, Inc.. 2 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 17.5%, MDD -31.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.1%, drawdown -62.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.5%, MDD -31.3%, Sharpe 0.67, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 17.5%, MDD -31.3%, exposure 67%).
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=24, exitN=39 |
17.5% | -31.3% | 0.67 | 0.56 | 5.2x | 30 | 67% |
| Supertrend period=17, mult=4.5 |
16.0% | -41.7% | 0.66 | 0.38 | 4.5x | 32 | 61% |
| ROC 모멘텀 n=150, threshold=0.07 |
9.7% | -63.2% | 0.48 | 0.15 | 2.6x | 66 | 52% |
| EMA 크로스오버 fast=54, slow=127 |
9.9% | -62.1% | 0.47 | 0.16 | 2.6x | 16 | 61% |
| SMA 크로스오버 fast=45, slow=58 |
9.7% | -51.2% | 0.46 | 0.19 | 2.6x | 54 | 60% |
| ADX / DI 방향성 period=22, threshold=37 |
2.4% | -7.9% | 0.43 | 0.30 | 1.3x | 6 | 4% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
2.7% | -10.6% | 0.40 | 0.26 | 1.3x | 8 | 4% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.5% | -57.1% | 0.26 | 0.06 | 1.4x | 92 | 57% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=1.9 |
0.0% | -56.5% | 0.13 | 0.00 | 1.0x | 68 | 46% |
| MACD fast=18, slow=55, signal=23 |
-0.9% | -53.2% | 0.11 | -0.02 | 0.9x | 102 | 51% |
| Buy and hold | 13.1% | -62.7% | 0.51 | 0.21 | 3.5x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 39 days