Trend-Following Backtester · Guide · backtest 한국어
equity · US
West Pharmaceutical Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of West Pharmaceutical Services, Inc.. 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 14.0%, drawdown -59.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.7%, MDD -55.6%, Sharpe 0.54, 76% 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=22, exitN=59 |
10.7% | -55.6% | 0.54 | 0.19 | 112.5x | 133 | 76% |
| EMA 크로스오버 fast=58, slow=94 |
9.6% | -60.9% | 0.53 | 0.16 | 71.3x | 69 | 67% |
| SMA 크로스오버 fast=34, slow=208 |
9.0% | -59.7% | 0.50 | 0.15 | 53.3x | 67 | 66% |
| 볼린저 밴드 돌파 n=70, k=0.7 |
7.9% | -43.9% | 0.48 | 0.18 | 34.2x | 271 | 55% |
| ROC 모멘텀 n=102, threshold=-0.03 |
8.6% | -73.7% | 0.48 | 0.12 | 45.3x | 291 | 70% |
| ADX / DI 방향성 period=39, threshold=7 |
7.9% | -51.1% | 0.47 | 0.15 | 33.4x | 439 | 61% |
| Supertrend period=24, mult=5 |
7.9% | -57.6% | 0.47 | 0.14 | 33.5x | 187 | 57% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=16, mult=1.8 |
7.0% | -44.0% | 0.45 | 0.16 | 22.7x | 245 | 55% |
| MACD fast=24, slow=77, signal=23 |
5.8% | -72.5% | 0.38 | 0.08 | 13.9x | 372 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.2% | -69.3% | 0.30 | 0.06 | 6.8x | 368 | 55% |
| Buy and hold | 14.0% | -59.6% | 0.59 | 0.23 | 434.2x | 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 59 days