Trend-Following Backtester · Guide · backtest 한국어
equity · US
S&P Global Inc. backtest
10 trend-following strategies were compared on the full daily history of S&P Global Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -75.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.9%, MDD -64.2%, Sharpe 0.55, 86% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=219, threshold=-0.1 |
10.9% | -64.2% | 0.55 | 0.17 | 255.0x | 124 | 86% |
| EMA 크로스오버 fast=42, slow=286 |
9.3% | -50.0% | 0.50 | 0.19 | 117.6x | 54 | 77% |
| Donchian 채널 돌파 entryN=16, exitN=56 |
9.2% | -67.5% | 0.49 | 0.14 | 110.0x | 175 | 81% |
| 볼린저 밴드 돌파 n=53, k=1 |
5.3% | -48.7% | 0.37 | 0.11 | 15.5x | 359 | 53% |
| SMA 크로스오버 fast=19, slow=80 |
5.6% | -49.0% | 0.37 | 0.11 | 18.3x | 177 | 64% |
| Supertrend period=29, mult=4.3 |
5.1% | -52.7% | 0.35 | 0.10 | 14.3x | 237 | 62% |
| Parabolic SAR step=0.005, maxStep=0.38 |
4.8% | -65.0% | 0.33 | 0.07 | 12.3x | 444 | 58% |
| MACD fast=19, slow=62, signal=16 |
4.1% | -53.4% | 0.30 | 0.08 | 8.7x | 559 | 52% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=24, mult=2 |
3.8% | -55.7% | 0.29 | 0.07 | 7.2x | 274 | 54% |
| ADX / DI 방향성 period=35, threshold=37 |
0.6% | -14.4% | 0.20 | 0.04 | 1.4x | 6 | 1% |
| Buy and hold | 12.5% | -75.8% | 0.55 | 0.16 | 538.4x | 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 219-day return is greater than -10%
- Sell — Sell when the 219-day return drops to -10% or below