Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ABC-MART, INC. backtest
10 trend-following strategies were compared on the full daily history of ABC-MART, INC.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -55.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.8%, MDD -55.1%, Sharpe 0.49, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
10.8% | -55.1% | 0.49 | 0.20 | 11.3x | 3 | 100% |
| Donchian 채널 돌파 entryN=8, exitN=79 |
7.8% | -50.9% | 0.41 | 0.15 | 6.0x | 75 | 89% |
| SMA 크로스오버 fast=21, slow=143 |
5.5% | -48.6% | 0.34 | 0.11 | 3.5x | 63 | 58% |
| ADX / DI 방향성 period=37, threshold=32 |
1.6% | -15.0% | 0.29 | 0.11 | 1.5x | 2 | 1% |
| EMA 크로스오버 fast=53, slow=125 |
3.6% | -64.8% | 0.27 | 0.06 | 2.3x | 41 | 58% |
| 볼린저 밴드 돌파 n=43, k=3.3 |
2.1% | -45.0% | 0.23 | 0.05 | 1.6x | 32 | 11% |
| Supertrend period=8, mult=4.9 |
1.8% | -66.6% | 0.19 | 0.03 | 1.5x | 87 | 58% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=3.7 |
0.8% | -63.9% | 0.13 | 0.01 | 1.2x | 64 | 23% |
| MACD fast=21, slow=51, signal=17 |
-2.3% | -73.0% | 0.00 | -0.03 | 0.6x | 250 | 51% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-4.9% | -89.9% | -0.11 | -0.05 | 0.3x | 316 | 53% |
| Buy and hold | 10.9% | -55.1% | 0.49 | 0.20 | 11.6x | 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 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below