Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cavco Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cavco Industries, 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 18.9%, drawdown -60.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.2%, MDD -67.7%, Sharpe 0.61, 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=3, threshold=-0.14 |
18.2% | -67.7% | 0.61 | 0.27 | 47.8x | 29 | 99% |
| Donchian 채널 돌파 entryN=50, exitN=121 |
14.0% | -62.3% | 0.55 | 0.22 | 20.5x | 23 | 82% |
| SMA 크로스오버 fast=43, slow=123 |
7.6% | -52.4% | 0.39 | 0.14 | 5.4x | 57 | 65% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
1.4% | -10.8% | 0.33 | 0.12 | 1.4x | 6 | 1% |
| Supertrend period=9, mult=4.9 |
5.1% | -79.6% | 0.32 | 0.06 | 3.2x | 67 | 61% |
| EMA 크로스오버 fast=51, slow=65 |
4.9% | -67.1% | 0.31 | 0.07 | 3.0x | 57 | 69% |
| ADX / DI 방향성 period=37, threshold=32 |
0.7% | -17.8% | 0.16 | 0.04 | 1.2x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=13, mult=1.9 |
-0.8% | -69.8% | 0.04 | -0.01 | 0.8x | 130 | 16% |
| MACD fast=5, slow=18, signal=11 |
-5.1% | -92.4% | -0.02 | -0.06 | 0.3x | 630 | 49% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-6.4% | -94.3% | -0.06 | -0.07 | 0.2x | 507 | 54% |
| Buy and hold | 18.9% | -60.8% | 0.62 | 0.31 | 54.4x | 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 3-day return is greater than -14%
- Sell — Sell when the 3-day return drops to -14% or below