Trend-Following Backtester · Guide · backtest 한국어
equity · US
Snap-On Incorporated backtest
10 trend-following strategies were compared on the full daily history of Snap-On Incorporated. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -70.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.4%, MDD -74.0%, Sharpe 0.26, 77% exposure.
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 entryN=10, exitN=41 |
3.4% | -74.0% | 0.26 | 0.05 | 6.0x | 245 | 77% |
| SMA 크로스오버 fast=41, slow=89 |
2.3% | -61.6% | 0.21 | 0.04 | 3.4x | 165 | 61% |
| EMA 크로스오버 fast=26, slow=212 |
1.8% | -69.6% | 0.19 | 0.03 | 2.5x | 105 | 66% |
| Supertrend period=24, mult=4.5 |
1.4% | -73.8% | 0.17 | 0.02 | 2.1x | 207 | 58% |
| ADX / DI 방향성 period=14, threshold=50 |
0.2% | -15.1% | 0.13 | 0.02 | 1.1x | 18 | 1% |
| ROC 모멘텀 n=81, threshold=-0.04 |
-0.7% | -79.3% | 0.08 | -0.01 | 0.7x | 501 | 71% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-0.9% | -80.8% | 0.06 | -0.01 | 0.6x | 439 | 55% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
-0.3% | -37.1% | -0.02 | -0.01 | 0.9x | 40 | 5% |
| MACD fast=14, slow=42, signal=13 |
-4.8% | -94.6% | -0.14 | -0.05 | 0.1x | 812 | 50% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=22, mult=2 |
-3.3% | -84.6% | -0.14 | -0.04 | 0.2x | 349 | 37% |
| Buy and hold | 7.4% | -70.1% | 0.39 | 0.11 | 45.4x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 41 days