Trend-Following Backtester · Guide · backtest 한국어
equity · US
AGCO Corporation backtest
10 trend-following strategies were compared on the full daily history of AGCO Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.6%, MDD -61.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.4%, drawdown -84.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -61.9%, Sharpe 0.45, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.9%, MDD -71.8%, exposure 81%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 9.6%, MDD -61.9%, exposure 57%).
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=50, slow=81 |
9.6% | -61.9% | 0.45 | 0.15 | 23.0x | 114 | 57% |
| Donchian 채널 돌파 entryN=19, exitN=78 |
9.9% | -71.8% | 0.44 | 0.14 | 25.2x | 84 | 81% |
| EMA 크로스오버 fast=71, slow=102 |
7.2% | -66.2% | 0.38 | 0.11 | 10.7x | 58 | 61% |
| ADX / DI 방향성 period=42, threshold=20 |
4.6% | -29.2% | 0.38 | 0.16 | 4.7x | 38 | 12% |
| ROC 모멘텀 n=80, threshold=0 |
4.5% | -70.1% | 0.30 | 0.06 | 4.5x | 420 | 57% |
| Supertrend period=19, mult=3.4 |
4.3% | -74.4% | 0.29 | 0.06 | 4.2x | 206 | 57% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=22, mult=2.9 |
2.8% | -55.7% | 0.24 | 0.05 | 2.6x | 132 | 31% |
| 볼린저 밴드 돌파 n=48, k=2.4 |
2.3% | -61.5% | 0.21 | 0.04 | 2.2x | 110 | 27% |
| MACD fast=14, slow=46, signal=19 |
0.1% | -92.0% | 0.16 | 0.00 | 1.0x | 423 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.4% | -96.1% | 0.10 | -0.01 | 0.6x | 588 | 52% |
| Buy and hold | 9.4% | -84.0% | 0.43 | 0.11 | 21.8x | 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 50-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 50-day average falls below the 81-day average