Trend-Following Backtester · Guide · backtest 한국어
equity · US
Textron Inc. backtest
10 trend-following strategies were compared on the full daily history of Textron Inc.. 1 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 8.9%, MDD -58.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.2%, drawdown -94.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -58.5%, Sharpe 0.45, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 8.9%, MDD -58.5%, exposure 79%).
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=22, exitN=76 |
8.9% | -58.5% | 0.45 | 0.15 | 96.1x | 126 | 79% |
| SMA 크로스오버 fast=27, slow=105 |
5.8% | -63.9% | 0.37 | 0.09 | 20.5x | 142 | 59% |
| EMA 크로스오버 fast=49, slow=82 |
5.3% | -57.2% | 0.35 | 0.09 | 16.2x | 115 | 61% |
| 볼린저 밴드 돌파 n=63, k=2.2 |
2.8% | -41.7% | 0.25 | 0.07 | 4.3x | 178 | 35% |
| Supertrend period=21, mult=4.3 |
2.6% | -70.4% | 0.22 | 0.04 | 3.9x | 246 | 56% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=17, mult=2.9 |
2.4% | -60.8% | 0.22 | 0.04 | 3.5x | 176 | 42% |
| ROC 모멘텀 n=104, threshold=-0.03 |
2.1% | -74.2% | 0.21 | 0.03 | 3.1x | 442 | 66% |
| MACD fast=18, slow=71, signal=12 |
0.4% | -70.5% | 0.14 | 0.01 | 1.3x | 646 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.3% | -65.4% | 0.12 | 0.00 | 1.2x | 446 | 54% |
| ADX / DI 방향성 period=32, threshold=18 |
-0.7% | -58.5% | 0.02 | -0.01 | 0.7x | 204 | 21% |
| Buy and hold | 6.2% | -94.9% | 0.35 | 0.07 | 25.4x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 76 days