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 17.4%, MDD -31.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.5%, drawdown -62.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.4%, MDD -31.3%, Sharpe 0.67, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 17.4%, MDD -31.3%, exposure 66%).
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 |
17.4% | -31.3% | 0.67 | 0.55 | 5.2x | 30 | 66% |
| Supertrend period=17, mult=4.5 |
15.8% | -41.7% | 0.66 | 0.38 | 4.5x | 32 | 61% |
| ROC 모멘텀 n=150, threshold=0.07 |
9.6% | -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 | 59% |
| 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 | 0.25 | 1.3x | 8 | 4% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.9% | -57.1% | 0.25 | 0.05 | 1.3x | 93 | 57% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=1.9 |
0.0% | -56.5% | 0.12 | 0.00 | 1.0x | 68 | 45% |
| MACD fast=18, slow=55, signal=23 |
-1.5% | -53.3% | 0.09 | -0.03 | 0.9x | 103 | 51% |
| Buy and hold | 13.5% | -62.7% | 0.51 | 0.21 | 3.7x | 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