Trend-Following Backtester · Guide · backtest 한국어
equity · US
3M Company backtest
10 trend-following strategies were compared on the full daily history of 3M Company. 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 6.2%, drawdown -66.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.8%, MDD -49.3%, Sharpe 0.30, 63% 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=49, slow=267 |
3.8% | -49.3% | 0.30 | 0.08 | 8.2x | 67 | 63% |
| Donchian 채널 돌파 entryN=132, exitN=90 |
2.6% | -57.3% | 0.24 | 0.05 | 4.4x | 67 | 55% |
| EMA 크로스오버 fast=20, slow=186 |
2.7% | -52.1% | 0.24 | 0.05 | 4.4x | 127 | 63% |
| ADX / DI 방향성 period=65, threshold=9 |
1.7% | -52.0% | 0.19 | 0.03 | 2.5x | 265 | 37% |
| ROC 모멘텀 n=85, threshold=-0.08 |
1.4% | -73.6% | 0.17 | 0.02 | 2.2x | 385 | 82% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
0.4% | -11.5% | 0.14 | 0.04 | 1.3x | 26 | 3% |
| Supertrend period=10, mult=4.7 |
-0.3% | -70.4% | 0.06 | -0.00 | 0.8x | 213 | 58% |
| MACD fast=25, slow=63, signal=47 |
-2.3% | -85.1% | -0.07 | -0.03 | 0.3x | 389 | 52% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=20, mult=1.8 |
-2.0% | -79.8% | -0.07 | -0.02 | 0.3x | 333 | 46% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.7% | -92.7% | -0.14 | -0.04 | 0.1x | 501 | 55% |
| Buy and hold | 6.2% | -66.9% | 0.37 | 0.09 | 30.6x | 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 49-day average price crosses above the 267-day average
- Sell — Sell (to cash) when the 49-day average falls below the 267-day average