Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vulcan Materials Company (Holding Company) backtest
10 trend-following strategies were compared on the full daily history of Vulcan Materials Company (Holding Company). 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 10.8%, drawdown -78.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -83.9%, Sharpe 0.47, 95% 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=2, exitN=78 |
9.2% | -83.9% | 0.47 | 0.11 | 113.0x | 233 | 95% |
| SMA 크로스오버 fast=61, slow=342 |
6.7% | -59.1% | 0.41 | 0.11 | 31.8x | 49 | 72% |
| ROC 모멘텀 n=151, threshold=-0.1 |
6.3% | -71.4% | 0.38 | 0.09 | 26.0x | 219 | 84% |
| EMA 크로스오버 fast=59, slow=219 |
5.4% | -65.6% | 0.36 | 0.08 | 16.2x | 63 | 73% |
| Supertrend period=9, mult=3.8 |
2.9% | -67.0% | 0.24 | 0.04 | 4.5x | 358 | 59% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
2.0% | -53.4% | 0.22 | 0.04 | 2.9x | 170 | 31% |
| ADX / DI 방향성 period=37, threshold=20 |
1.4% | -30.5% | 0.20 | 0.05 | 2.1x | 128 | 18% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=20, mult=1.6 |
1.9% | -58.2% | 0.19 | 0.03 | 2.7x | 430 | 47% |
| Parabolic SAR step=0.02, maxStep=0.12 |
1.2% | -76.3% | 0.16 | 0.02 | 1.9x | 1014 | 54% |
| MACD fast=19, slow=52, signal=14 |
1.0% | -68.5% | 0.15 | 0.01 | 1.7x | 670 | 50% |
| Buy and hold | 10.8% | -78.8% | 0.50 | 0.14 | 237.5x | 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 2 days
- Sell — Sell when price breaks below the lowest low of the last 78 days