Trend-Following Backtester · Guide · backtest 한국어
equity · US
PROG Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of PROG Holdings, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like. The return/drawdown alternative is Supertrend (CAGR 8.1%, MDD -59.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -81.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.3%, MDD -83.5%, Sharpe 0.42, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Supertrend — CAGR is 0.1%p lower than buy and hold, while drawdown improves by -2.5%p (CAGR 8.1%, MDD -59.3%, exposure 57%).
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 97% n=12, threshold=-0.14 |
9.3% | -83.5% | 0.42 | 0.11 | 48.1x | 149 | 97% |
| Supertrend period=17, mult=5 |
8.1% | -59.3% | 0.41 | 0.14 | 30.5x | 193 | 57% |
| Donchian 채널 돌파 entryN=11, exitN=72 |
6.8% | -69.0% | 0.36 | 0.10 | 18.1x | 151 | 84% |
| SMA 크로스오버 fast=34, slow=44 |
5.3% | -78.9% | 0.32 | 0.07 | 9.6x | 311 | 56% |
| EMA 크로스오버 fast=15, slow=47 |
1.6% | -67.8% | 0.20 | 0.02 | 2.0x | 255 | 57% |
| MACD fast=17, slow=41, signal=13 |
0.6% | -86.3% | 0.17 | 0.01 | 1.3x | 560 | 51% |
| 볼린저 밴드 돌파 n=48, k=2 |
0.8% | -58.7% | 0.15 | 0.01 | 1.4x | 217 | 36% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-1.6% | -90.9% | 0.10 | -0.02 | 0.5x | 860 | 52% |
| ADX / DI 방향성 period=16, threshold=20 |
-0.7% | -73.8% | 0.09 | -0.01 | 0.7x | 427 | 34% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=2.8 |
-1.4% | -86.1% | 0.05 | -0.02 | 0.5x | 227 | 35% |
| Buy and hold | 9.4% | -81.0% | 0.42 | 0.12 | 51.0x | 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 12-day return is greater than -14%
- Sell — Sell when the 12-day return drops to -14% or below