Trend-Following Backtester · Guide · backtest 한국어
equity · US
ABM Industries Incorporated backtest
10 trend-following strategies were compared on the full daily history of ABM Industries Incorporated. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -61.3%).
Sharpe leader (same as main): Supertrend — CAGR 4.5%, MDD -54.1%, Sharpe 0.32, 59% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=5 |
4.5% | -54.1% | 0.32 | 0.08 | 7.9x | 175 | 59% |
| Donchian 채널 돌파 entryN=79, exitN=40 |
3.8% | -57.6% | 0.30 | 0.07 | 5.5x | 107 | 46% |
| ADX / DI 방향성 period=55, threshold=19 |
2.3% | -23.2% | 0.29 | 0.10 | 2.9x | 48 | 14% |
| SMA 크로스오버 fast=49, slow=205 |
3.5% | -59.7% | 0.27 | 0.06 | 5.0x | 71 | 60% |
| EMA 크로스오버 fast=62, slow=105 |
2.7% | -62.3% | 0.23 | 0.04 | 3.4x | 75 | 62% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
0.6% | -26.5% | 0.15 | 0.02 | 1.3x | 36 | 3% |
| ROC 모멘텀 n=108, threshold=-0.03 |
-0.0% | -84.1% | 0.11 | -0.00 | 1.0x | 429 | 67% |
| MACD fast=22, slow=54, signal=20 |
-0.1% | -85.0% | 0.10 | -0.00 | 1.0x | 453 | 51% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=4 |
0.4% | -48.1% | 0.09 | 0.01 | 1.2x | 123 | 20% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.0% | -86.2% | 0.06 | -0.01 | 0.6x | 369 | 55% |
| Buy and hold | 8.9% | -61.3% | 0.43 | 0.14 | 51.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)