Trend-Following Backtester · Guide · backtest 한국어
equity · US
Valmont Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Valmont Industries, Inc.. 0 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 10.6%, MDD -58.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.5%, drawdown -75.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.6%, MDD -58.9%, Sharpe 0.48, 72% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 16.1%p (CAGR 10.6%, MDD -58.9%, exposure 72%).
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=34, exitN=71 |
10.6% | -58.9% | 0.48 | 0.18 | 221.1x | 117 | 72% |
| SMA 크로스오버 fast=47, slow=126 |
10.0% | -64.2% | 0.48 | 0.16 | 160.6x | 113 | 61% |
| ADX / DI 방향성 period=40, threshold=14 |
8.2% | -59.5% | 0.45 | 0.14 | 66.4x | 238 | 39% |
| EMA 크로스오버 fast=55, slow=124 |
8.0% | -65.2% | 0.41 | 0.12 | 60.6x | 89 | 63% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
6.6% | -73.6% | 0.38 | 0.09 | 30.6x | 342 | 46% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=16, mult=1.7 |
6.3% | -69.6% | 0.38 | 0.09 | 26.6x | 290 | 46% |
| Supertrend period=23, mult=5 |
6.6% | -88.0% | 0.37 | 0.07 | 30.5x | 164 | 58% |
| Parabolic SAR step=0.015, maxStep=0.12 |
6.5% | -87.6% | 0.37 | 0.07 | 29.2x | 802 | 53% |
| ROC 모멘텀 n=97, threshold=-0.03 |
5.6% | -89.7% | 0.33 | 0.06 | 18.3x | 473 | 67% |
| MACD fast=17, slow=27, signal=18 |
1.4% | -90.2% | 0.19 | 0.02 | 2.1x | 684 | 50% |
| Buy and hold | 13.5% | -75.0% | 0.52 | 0.18 | 852.1x | 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 34 days
- Sell — Sell when price breaks below the lowest low of the last 71 days