Trend-Following Backtester · Guide · backtest 한국어
equity · CH
ABB Ltd. backtest
10 trend-following strategies were compared on the full daily history of ABB Ltd.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.4%, MDD -44.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.8%, drawdown -97.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.4%, MDD -44.3%, Sharpe 0.50, 54% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.8%, MDD -53.4%, exposure 59%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 8.4%, MDD -44.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=176, threshold=0.03 |
8.4% | -44.3% | 0.50 | 0.19 | 9.0x | 153 | 54% |
| SMA 크로스오버 fast=32, slow=182 |
8.8% | -53.4% | 0.50 | 0.16 | 9.7x | 41 | 59% |
| EMA 크로스오버 fast=29, slow=93 |
8.3% | -73.3% | 0.48 | 0.11 | 8.7x | 67 | 59% |
| ADX / DI 방향성 period=36, threshold=33 |
1.2% | -8.5% | 0.39 | 0.14 | 1.4x | 2 | 1% |
| 볼린저 밴드 돌파 n=42, k=3 |
3.3% | -34.8% | 0.37 | 0.10 | 2.4x | 42 | 14% |
| Donchian 채널 돌파 entryN=69, exitN=64 |
5.4% | -74.0% | 0.36 | 0.07 | 4.2x | 55 | 56% |
| Supertrend period=13, mult=4.5 |
3.8% | -65.2% | 0.28 | 0.06 | 2.8x | 116 | 55% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=10, mult=1.6 |
3.6% | -58.3% | 0.28 | 0.06 | 2.6x | 174 | 47% |
| MACD fast=18, slow=86, signal=13 |
1.0% | -86.6% | 0.19 | 0.01 | 1.3x | 290 | 51% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-4.4% | -85.5% | -0.01 | -0.05 | 0.3x | 608 | 54% |
| Buy and hold | 3.8% | -97.0% | 0.30 | 0.04 | 2.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 176-day return is greater than 3%
- Sell — Sell when the 176-day return drops to 3% or below