Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stryker Corporation backtest
10 trend-following strategies were compared on the full daily history of Stryker Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.1%, drawdown -59.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -66.6%, Sharpe 0.65, 95% 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 95% entryN=6, exitN=123 |
16.3% | -66.6% | 0.65 | 0.24 | 1109.8x | 83 | 95% |
| ROC 모멘텀 n=28, threshold=-0.12 |
13.1% | -76.5% | 0.56 | 0.17 | 299.1x | 255 | 93% |
| SMA 크로스오버 fast=55, slow=219 |
11.3% | -50.5% | 0.54 | 0.22 | 141.4x | 54 | 72% |
| EMA 크로스오버 fast=26, slow=117 |
9.1% | -57.3% | 0.47 | 0.16 | 57.3x | 114 | 71% |
| Supertrend period=26, mult=4.9 |
8.1% | -54.3% | 0.45 | 0.15 | 36.3x | 169 | 62% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=1.1 |
2.5% | -73.8% | 0.22 | 0.03 | 3.2x | 457 | 52% |
| 볼린저 밴드 돌파 n=76, k=1.9 |
1.9% | -62.4% | 0.19 | 0.03 | 2.4x | 173 | 42% |
| ADX / DI 방향성 period=38, threshold=24 |
0.8% | -42.5% | 0.13 | 0.02 | 1.5x | 58 | 10% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-0.3% | -91.5% | 0.10 | -0.00 | 0.9x | 799 | 55% |
| MACD fast=18, slow=32, signal=16 |
-0.5% | -82.1% | 0.09 | -0.01 | 0.8x | 589 | 51% |
| Buy and hold | 19.1% | -59.2% | 0.70 | 0.32 | 3359.8x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 123 days