Trend-Following Backtester · Guide · backtest 한국어
equity · US
ITT Inc. backtest
10 trend-following strategies were compared on the full daily history of ITT Inc.. 0 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
0 of 10 beat buy and hold (CAGR 13.8%, drawdown -55.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.1%, MDD -52.7%, Sharpe 0.54, 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=21, threshold=-0.15 |
12.1% | -52.7% | 0.54 | 0.23 | 32.6x | 61 | 98% |
| SMA 크로스오버 fast=34, slow=212 |
8.5% | -43.2% | 0.47 | 0.20 | 12.2x | 41 | 70% |
| Donchian 채널 돌파 entryN=20, exitN=53 |
7.5% | -51.5% | 0.42 | 0.14 | 9.1x | 97 | 75% |
| EMA 크로스오버 fast=61, slow=173 |
7.0% | -56.7% | 0.41 | 0.12 | 7.8x | 37 | 71% |
| Parabolic SAR step=0.005, maxStep=0.02 |
5.3% | -39.9% | 0.35 | 0.13 | 4.9x | 159 | 63% |
| Supertrend period=25, mult=3.6 |
5.2% | -54.7% | 0.34 | 0.09 | 4.7x | 158 | 61% |
| 볼린저 밴드 돌파 n=55, k=2.9 |
1.6% | -31.8% | 0.20 | 0.05 | 1.6x | 58 | 19% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=2.1 |
0.7% | -55.6% | 0.12 | 0.01 | 1.2x | 174 | 41% |
| ADX / DI 방향성 period=32, threshold=26 |
0.5% | -16.6% | 0.12 | 0.03 | 1.2x | 24 | 6% |
| MACD fast=12, slow=39, signal=8 |
-3.2% | -75.5% | -0.06 | -0.04 | 0.4x | 589 | 49% |
| Buy and hold | 13.8% | -55.7% | 0.58 | 0.25 | 52.3x | 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 21-day return is greater than -15%
- Sell — Sell when the 21-day return drops to -15% or below