Trend-Following Backtester · Guide · backtest 한국어
equity · US
ESCO Technologies Inc. backtest
10 trend-following strategies were compared on the full daily history of ESCO Technologies Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 13.8%, drawdown -58.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.0%, MDD -63.7%, Sharpe 0.54, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.13 |
14.0% | -63.7% | 0.54 | 0.22 | 110.2x | 35 | 100% |
| Donchian 채널 돌파 entryN=44, exitN=79 |
9.5% | -64.5% | 0.46 | 0.15 | 25.9x | 62 | 75% |
| SMA 크로스오버 fast=68, slow=184 |
7.2% | -54.5% | 0.39 | 0.13 | 12.1x | 53 | 66% |
| EMA 크로스오버 fast=54, slow=69 |
3.8% | -76.7% | 0.27 | 0.05 | 3.8x | 87 | 65% |
| Supertrend period=22, mult=5 |
3.2% | -79.5% | 0.25 | 0.04 | 3.1x | 128 | 57% |
| MACD fast=19, slow=43, signal=19 |
3.0% | -67.9% | 0.24 | 0.04 | 2.9x | 388 | 50% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=22, mult=4 |
2.1% | -40.7% | 0.21 | 0.05 | 2.1x | 90 | 20% |
| 볼린저 밴드 돌파 n=50, k=3.4 |
1.5% | -34.5% | 0.18 | 0.04 | 1.7x | 44 | 12% |
| ADX / DI 방향성 period=34, threshold=24 |
1.2% | -40.9% | 0.17 | 0.03 | 1.5x | 52 | 10% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.8% | -76.8% | 0.06 | -0.02 | 0.5x | 590 | 54% |
| Buy and hold | 13.8% | -58.5% | 0.53 | 0.24 | 103.5x | 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 2-day return is greater than -13%
- Sell — Sell when the 2-day return drops to -13% or below