Trend-Following Backtester · Guide · backtest 한국어
equity · US
T. Rowe Price Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of T. Rowe Price Group, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -67.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -64.2%, Sharpe 0.41, 66% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=156 |
8.0% | -64.2% | 0.41 | 0.12 | 21.9x | 73 | 66% |
| EMA 크로스오버 fast=63, slow=188 |
7.0% | -60.3% | 0.38 | 0.12 | 15.1x | 51 | 70% |
| Supertrend period=28, mult=3.1 |
6.6% | -71.0% | 0.38 | 0.09 | 13.2x | 257 | 58% |
| Donchian 채널 돌파 entryN=19, exitN=79 |
5.6% | -70.0% | 0.33 | 0.08 | 9.0x | 107 | 82% |
| ADX / DI 방향성 period=50, threshold=38 |
0.7% | -6.6% | 0.31 | 0.11 | 1.3x | 2 | 2% |
| MACD fast=17, slow=63, signal=24 |
2.9% | -66.8% | 0.24 | 0.04 | 3.1x | 385 | 51% |
| ROC 모멘텀 n=136, threshold=-0.04 |
1.5% | -88.4% | 0.19 | 0.02 | 1.8x | 345 | 73% |
| 볼린저 밴드 돌파 n=42, k=1.9 |
1.3% | -71.2% | 0.16 | 0.02 | 1.7x | 221 | 37% |
| Parabolic SAR step=0.01, maxStep=0.38 |
0.8% | -92.9% | 0.16 | 0.01 | 1.4x | 549 | 54% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=2.2 |
0.6% | -58.3% | 0.13 | 0.01 | 1.3x | 227 | 40% |
| Buy and hold | 13.0% | -67.7% | 0.51 | 0.19 | 138.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 156-day average
- Sell — Sell (to cash) when the 42-day average falls below the 156-day average