Trend-Following Backtester · Guide · backtest 한국어
equity · US
AbbVie Inc. backtest
10 trend-following strategies were compared on the full daily history of AbbVie Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.6%, drawdown -48.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.1%, MDD -36.8%, Sharpe 0.57, 84% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=184, threshold=-0.09 |
11.1% | -36.8% | 0.57 | 0.30 | 4.2x | 41 | 84% |
| SMA 크로스오버 fast=62, slow=291 |
10.1% | -44.5% | 0.55 | 0.23 | 3.7x | 11 | 73% |
| 볼린저 밴드 돌파 n=38, k=2.3 |
6.5% | -36.8% | 0.53 | 0.18 | 2.3x | 57 | 32% |
| Donchian 채널 돌파 entryN=49, exitN=70 |
8.8% | -29.6% | 0.52 | 0.30 | 3.2x | 23 | 70% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=11, mult=2.9 |
5.4% | -34.6% | 0.51 | 0.16 | 2.1x | 48 | 26% |
| Supertrend period=20, mult=3.8 |
6.9% | -32.6% | 0.45 | 0.21 | 2.5x | 65 | 61% |
| EMA 크로스오버 fast=32, slow=215 |
5.8% | -47.6% | 0.37 | 0.12 | 2.2x | 23 | 73% |
| MACD fast=32, slow=35, signal=23 |
4.7% | -53.2% | 0.35 | 0.09 | 1.9x | 110 | 52% |
| ADX / DI 방향성 period=28, threshold=19 |
2.8% | -31.9% | 0.28 | 0.09 | 1.5x | 69 | 24% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-0.3% | -60.2% | 0.08 | -0.01 | 1.0x | 243 | 55% |
| Buy and hold | 15.6% | -48.9% | 0.68 | 0.32 | 7.3x | 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 184-day return is greater than -9%
- Sell — Sell when the 184-day return drops to -9% or below