Trend-Following Backtester · Guide · backtest 한국어
equity · US
Merck & Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Merck & Company, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -52.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.2%, drawdown -77.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -52.3%, Sharpe 0.48, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 25.5%p (CAGR 7.4%, MDD -52.3%, exposure 62%).
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=42, slow=130 |
7.4% | -52.3% | 0.48 | 0.14 | 55.8x | 107 | 62% |
| EMA 크로스오버 fast=28, slow=196 |
7.2% | -54.7% | 0.48 | 0.13 | 50.5x | 93 | 63% |
| Donchian 채널 돌파 entryN=119, exitN=65 |
6.4% | -58.4% | 0.47 | 0.11 | 34.0x | 75 | 52% |
| Keltner 채널 돌파 emaPeriod=186, atrPeriod=25, mult=4 |
5.5% | -53.6% | 0.43 | 0.10 | 20.9x | 93 | 47% |
| ROC 모멘텀 n=162, threshold=-0.01 |
5.4% | -61.6% | 0.38 | 0.09 | 19.5x | 365 | 64% |
| 볼린저 밴드 돌파 n=94, k=1.9 |
4.1% | -44.0% | 0.36 | 0.09 | 9.6x | 151 | 41% |
| Supertrend period=21, mult=5 |
2.9% | -73.5% | 0.25 | 0.04 | 5.1x | 187 | 61% |
| Parabolic SAR step=0.005, maxStep=0.02 |
2.0% | -70.5% | 0.20 | 0.03 | 3.1x | 303 | 60% |
| ADX / DI 방향성 period=39, threshold=28 |
0.7% | -21.0% | 0.20 | 0.03 | 1.5x | 20 | 3% |
| MACD fast=35, slow=90, signal=17 |
-1.4% | -78.6% | 0.00 | -0.02 | 0.5x | 475 | 52% |
| Buy and hold | 8.2% | -77.9% | 0.44 | 0.11 | 87.9x | 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 42-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 42-day average falls below the 130-day average