Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rockwell Automation, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rockwell Automation, 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 9.0%, MDD -55.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -82.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -55.5%, Sharpe 0.49, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 27.2%p (CAGR 9.0%, MDD -55.5%, exposure 63%).
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=51, slow=141 |
9.0% | -55.5% | 0.49 | 0.16 | 47.8x | 75 | 63% |
| Donchian 채널 돌파 entryN=66, exitN=56 |
7.7% | -51.1% | 0.45 | 0.15 | 27.2x | 83 | 58% |
| ROC 모멘텀 n=17, threshold=-0.12 |
8.9% | -65.4% | 0.44 | 0.14 | 45.3x | 235 | 95% |
| Supertrend period=12, mult=5 |
7.3% | -61.2% | 0.43 | 0.12 | 23.7x | 127 | 61% |
| EMA 크로스오버 fast=54, slow=107 |
6.1% | -58.0% | 0.37 | 0.11 | 14.0x | 79 | 65% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
3.9% | -50.0% | 0.34 | 0.08 | 5.4x | 108 | 28% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=18, mult=3 |
2.2% | -53.8% | 0.22 | 0.04 | 2.7x | 162 | 35% |
| ADX / DI 방향성 period=31, threshold=26 |
1.2% | -23.1% | 0.20 | 0.05 | 1.7x | 44 | 6% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.0% | -84.7% | 0.07 | -0.01 | 0.6x | 378 | 55% |
| MACD fast=18, slow=54, signal=17 |
-1.0% | -76.3% | 0.06 | -0.01 | 0.6x | 516 | 50% |
| Buy and hold | 9.2% | -82.7% | 0.44 | 0.11 | 51.6x | 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 51-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 51-day average falls below the 141-day average