Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allegion plc backtest
10 trend-following strategies were compared on the full daily history of Allegion plc. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -43.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.7%, MDD -35.9%, Sharpe 0.50, 98% 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 98% n=7, threshold=-0.09 |
9.7% | -35.9% | 0.50 | 0.27 | 3.3x | 45 | 98% |
| Supertrend period=36, mult=4.7 |
6.1% | -32.9% | 0.42 | 0.19 | 2.1x | 41 | 59% |
| 볼린저 밴드 돌파 n=25, k=2 |
4.6% | -32.7% | 0.39 | 0.14 | 1.8x | 95 | 35% |
| Donchian 채널 돌파 entryN=20, exitN=45 |
5.3% | -34.5% | 0.36 | 0.15 | 1.9x | 47 | 70% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=21, mult=3.3 |
1.0% | -6.4% | 0.33 | 0.16 | 1.1x | 9 | 4% |
| SMA 크로스오버 fast=49, slow=250 |
2.7% | -43.4% | 0.23 | 0.06 | 1.4x | 16 | 67% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.5% | -48.1% | 0.23 | 0.05 | 1.4x | 115 | 56% |
| EMA 크로스오버 fast=20, slow=40 |
2.3% | -35.9% | 0.22 | 0.06 | 1.3x | 63 | 57% |
| MACD fast=36, slow=37, signal=19 |
2.2% | -55.6% | 0.21 | 0.04 | 1.3x | 121 | 49% |
| ADX / DI 방향성 period=26, threshold=33 |
0.4% | -3.5% | 0.20 | 0.12 | 1.1x | 2 | 1% |
| Buy and hold | 9.7% | -43.4% | 0.49 | 0.22 | 3.2x | 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 7-day return is greater than -9%
- Sell — Sell when the 7-day return drops to -9% or below