Trend-Following Backtester · Guide · backtest 한국어
equity · US
Caterpillar, Inc. backtest
10 trend-following strategies were compared on the full daily history of Caterpillar, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -74.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -61.6%, Sharpe 0.43, 58% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=106 |
7.1% | -61.6% | 0.43 | 0.11 | 47.2x | 139 | 58% |
| Donchian 채널 돌파 entryN=55, exitN=64 |
6.2% | -69.5% | 0.39 | 0.09 | 30.8x | 120 | 61% |
| EMA 크로스오버 fast=42, slow=127 |
5.4% | -60.6% | 0.35 | 0.09 | 19.9x | 113 | 60% |
| Supertrend period=28, mult=5 |
4.7% | -77.5% | 0.33 | 0.06 | 13.5x | 222 | 56% |
| ROC 모멘텀 n=127, threshold=-0.15 |
4.8% | -74.2% | 0.31 | 0.06 | 14.2x | 337 | 86% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=25, mult=3.8 |
3.3% | -62.2% | 0.29 | 0.05 | 6.4x | 168 | 34% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
2.5% | -36.5% | 0.28 | 0.07 | 4.0x | 100 | 17% |
| ADX / DI 방향성 period=46, threshold=19 |
1.3% | -50.1% | 0.18 | 0.03 | 2.0x | 80 | 13% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.6% | -85.6% | 0.13 | 0.01 | 1.4x | 488 | 55% |
| MACD fast=22, slow=50, signal=14 |
-0.9% | -83.9% | 0.06 | -0.01 | 0.6x | 662 | 51% |
| Buy and hold | 10.1% | -74.5% | 0.47 | 0.14 | 234.4x | 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 58-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 58-day average falls below the 106-day average