Trend-Following Backtester · Guide · backtest 한국어
equity · US
Moog Inc. backtest
10 trend-following strategies were compared on the full daily history of Moog 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 12.0%, drawdown -86.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.4%, MDD -88.3%, Sharpe 0.50, 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=4, threshold=-0.15 |
12.4% | -88.3% | 0.50 | 0.14 | 216.4x | 49 | 100% |
| Donchian 채널 돌파 entryN=10, exitN=100 |
8.2% | -77.4% | 0.40 | 0.11 | 37.5x | 127 | 90% |
| Supertrend period=11, mult=4.2 |
6.8% | -69.4% | 0.38 | 0.10 | 20.6x | 207 | 59% |
| SMA 크로스오버 fast=49, slow=137 |
5.5% | -79.1% | 0.33 | 0.07 | 11.9x | 91 | 60% |
| EMA 크로스오버 fast=52, slow=64 |
5.4% | -72.1% | 0.33 | 0.07 | 11.1x | 119 | 61% |
| ADX / DI 방향성 period=32, threshold=32 |
1.2% | -28.0% | 0.19 | 0.04 | 1.7x | 26 | 5% |
| MACD fast=26, slow=40, signal=19 |
0.6% | -78.0% | 0.15 | 0.01 | 1.3x | 468 | 49% |
| 볼린저 밴드 돌파 n=37, k=3 |
0.7% | -49.7% | 0.12 | 0.01 | 1.4x | 100 | 14% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=12, mult=3.8 |
0.5% | -50.3% | 0.10 | 0.01 | 1.3x | 72 | 7% |
| Parabolic SAR step=0.035, maxStep=0.12 |
-4.2% | -97.4% | -0.03 | -0.04 | 0.1x | 1128 | 53% |
| Buy and hold | 12.0% | -86.8% | 0.49 | 0.14 | 189.3x | 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 4-day return is greater than -15%
- Sell — Sell when the 4-day return drops to -15% or below