Trend-Following Backtester · Guide · backtest 한국어
equity · US
C.H. Robinson Worldwide, Inc. backtest
10 trend-following strategies were compared on the full daily history of C.H. Robinson Worldwide, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -44.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.7%, MDD -50.7%, Sharpe 0.45, 99% 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 99% n=4, threshold=-0.1 |
9.7% | -50.7% | 0.45 | 0.19 | 14.5x | 86 | 99% |
| SMA 크로스오버 fast=39, slow=355 |
7.6% | -45.4% | 0.41 | 0.17 | 8.3x | 31 | 66% |
| Donchian 채널 돌파 entryN=12, exitN=77 |
3.8% | -71.9% | 0.27 | 0.05 | 2.9x | 86 | 85% |
| EMA 크로스오버 fast=46, slow=146 |
3.5% | -65.0% | 0.26 | 0.05 | 2.7x | 53 | 65% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
1.2% | -22.7% | 0.20 | 0.05 | 1.4x | 26 | 9% |
| ADX / DI 방향성 period=42, threshold=27 |
0.4% | -18.7% | 0.11 | 0.02 | 1.1x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=16, mult=3.1 |
-0.1% | -50.4% | 0.06 | -0.00 | 1.0x | 86 | 22% |
| Supertrend period=10, mult=4.7 |
-1.5% | -82.6% | 0.04 | -0.02 | 0.6x | 100 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.4% | -82.3% | -0.04 | -0.04 | 0.4x | 246 | 53% |
| MACD fast=26, slow=36, signal=22 |
-4.4% | -86.9% | -0.09 | -0.05 | 0.3x | 308 | 51% |
| Buy and hold | 12.0% | -44.9% | 0.51 | 0.27 | 25.8x | 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 4-day return is greater than -10%
- Sell — Sell when the 4-day return drops to -10% or below