Trend-Following Backtester · Guide · backtest 한국어
equity · US
Autoliv, Inc. backtest
10 trend-following strategies were compared on the full daily history of Autoliv, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 5.0%, MDD -49.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -80.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.0%, MDD -49.5%, Sharpe 0.33, 64% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 31.4%p (CAGR 5.0%, MDD -49.5%, exposure 64%).
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=208, threshold=-0.05 |
5.0% | -49.5% | 0.33 | 0.10 | 4.2x | 137 | 64% |
| EMA 크로스오버 fast=16, slow=190 |
4.3% | -43.4% | 0.31 | 0.10 | 3.4x | 71 | 58% |
| Donchian 채널 돌파 entryN=118, exitN=43 |
3.8% | -38.3% | 0.30 | 0.10 | 3.0x | 51 | 37% |
| SMA 크로스오버 fast=20, slow=180 |
4.0% | -55.2% | 0.29 | 0.07 | 3.1x | 71 | 57% |
| Supertrend period=28, mult=4.4 |
1.0% | -63.8% | 0.16 | 0.01 | 1.3x | 138 | 57% |
| ADX / DI 방향성 period=32, threshold=31 |
0.3% | -9.5% | 0.15 | 0.03 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=1.9 |
0.8% | -60.7% | 0.13 | 0.01 | 1.3x | 176 | 42% |
| MACD fast=19, slow=54, signal=16 |
-1.1% | -65.2% | 0.07 | -0.02 | 0.7x | 335 | 51% |
| 볼린저 밴드 돌파 n=57, k=1 |
-0.9% | -62.8% | 0.05 | -0.01 | 0.8x | 188 | 46% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-6.2% | -87.5% | -0.15 | -0.07 | 0.2x | 705 | 53% |
| Buy and hold | 5.5% | -80.9% | 0.33 | 0.07 | 4.8x | 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 208-day return is greater than -5%
- Sell — Sell when the 208-day return drops to -5% or below