Trend-Following Backtester · Guide · backtest 한국어

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Westinghouse Air Brake Technologies Corporation backtest

10 trend-following strategies were compared on the full daily history of Westinghouse Air Brake Technologies Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1995-06-16 ~ 2026-07-31daily bars 7,832 (31.1 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.5%, drawdown -72.0%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -65.5%, Sharpe 0.48, 81% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=21, exitN=64
10.3%-65.5%0.480.1621.3x7381%
ROC 모멘텀
n=55, threshold=-0.09
8.6%-78.7%0.430.1113.1x24982%
EMA 크로스오버
fast=52, slow=77
7.2%-50.9%0.400.148.8x6567%
SMA 크로스오버
fast=38, slow=122
7.1%-57.9%0.400.128.4x6965%
Supertrend
period=14, mult=4.1
5.1%-58.1%0.320.094.7x14161%
ADX / DI 방향성
period=51, threshold=16
3.1%-28.8%0.310.112.6x4616%
MACD
fast=23, slow=72, signal=24
2.8%-63.6%0.230.042.4x26152%
볼린저 밴드 돌파
n=55, k=2.3
0.6%-69.4%0.120.011.2x11935%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=22, mult=1.4
-2.4%-84.4%-0.01-0.030.5x25151%
Parabolic SAR
step=0.045, maxStep=0.08
-3.9%-93.0%-0.03-0.040.3x69155%
Buy and hold12.5%-72.0%0.510.1738.6x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -36% -54% -72% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -65.5% (2008-08-28 → 2009-03-30), recovered after 1,608 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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