Trend-Following Backtester · Guide · backtest 한국어

equity · US

Colgate-Palmolive Company backtest

10 trend-following strategies were compared on the full daily history of Colgate-Palmolive Company. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 1973-05-02 ~ 2026-07-31daily bars 13,425 (53.2 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.4%, drawdown -67.6%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.1%, MDD -73.1%, Sharpe 0.36, 100% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=3, threshold=-0.09
6.1%-73.1%0.360.0823.3x71100%
SMA 크로스오버
fast=76, slow=215
5.1%-51.0%0.360.1014.3x6963%
Donchian 채널 돌파
entryN=11, exitN=78
4.2%-63.2%0.300.078.9x14587%
EMA 크로스오버
fast=78, slow=239
2.9%-67.7%0.240.044.6x6168%
Supertrend
period=12, mult=4.4
-0.4%-65.2%0.07-0.010.8x20356%
MACD
fast=30, slow=48, signal=26
-1.6%-77.4%-0.01-0.020.4x44651%
ADX / DI 방향성
period=39, threshold=22
-0.2%-34.4%-0.03-0.010.9x385%
볼린저 밴드 돌파
n=15, k=3.2
-0.2%-29.2%-0.03-0.010.9x241%
Parabolic SAR
step=0.005, maxStep=0.18
-2.1%-81.0%-0.04-0.030.3x45154%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=18, mult=3.9
-0.1%-9.4%-0.12-0.010.9x20%
Buy and hold7.4%-67.6%0.410.1145.4x1100%
1x 10x 1974 1981 1988 1995 2002 2009 2016 2023 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -37% -55% -73% 1974 1981 1988 1995 2002 2009 2016 2023 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -73.1% (1973-10-12 → 1980-03-24), recovered after 4,626 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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