Trend-Following Backtester · Guide · backtest 한국어
equity · US
Select Water Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Select Water Solutions, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.5%, MDD -65.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.4%, drawdown -89.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -71.2%, Sharpe 0.41, 84% exposure.
CAGR reference leader: Supertrend — CAGR 8.5%, MDD -65.2%, exposure 58%.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 8.5%, MDD -65.2%, exposure 58%).
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=16, exitN=104 |
8.2% | -71.2% | 0.41 | 0.12 | 2.1x | 19 | 84% |
| Supertrend period=13, mult=4.5 |
8.5% | -65.2% | 0.40 | 0.13 | 2.1x | 27 | 58% |
| SMA 크로스오버 fast=46, slow=89 |
8.3% | -65.9% | 0.40 | 0.13 | 2.1x | 29 | 55% |
| MACD fast=16, slow=54, signal=19 |
4.3% | -64.1% | 0.31 | 0.07 | 1.5x | 86 | 50% |
| ROC 모멘텀 n=17, threshold=-0.08 |
2.0% | -60.9% | 0.28 | 0.03 | 1.2x | 142 | 77% |
| EMA 크로스오버 fast=14, slow=179 |
1.4% | -61.1% | 0.22 | 0.02 | 1.1x | 23 | 47% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-5.0% | -64.2% | 0.10 | -0.08 | 0.6x | 125 | 51% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
-0.6% | -30.9% | 0.05 | -0.02 | 0.9x | 14 | 14% |
| ADX / DI 방향성 period=11, threshold=18 |
-6.2% | -68.3% | 0.01 | -0.09 | 0.6x | 174 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=4 |
-1.8% | -47.5% | -0.02 | -0.04 | 0.8x | 16 | 17% |
| Buy and hold | 5.4% | -89.5% | 0.39 | 0.06 | 1.6x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 104 days