Trend-Following Backtester · Guide · backtest 한국어
equity · US
Spire Inc. backtest
10 trend-following strategies were compared on the full daily history of Spire Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -48.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.1%, MDD -57.3%, Sharpe 0.29, 99% 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 99% n=23, threshold=-0.14 |
4.1% | -57.3% | 0.29 | 0.07 | 8.8x | 53 | 99% |
| SMA 크로스오버 fast=40, slow=313 |
3.2% | -47.4% | 0.27 | 0.07 | 5.5x | 64 | 65% |
| EMA 크로스오버 fast=53, slow=180 |
2.5% | -54.0% | 0.23 | 0.05 | 3.6x | 78 | 64% |
| Donchian 채널 돌파 entryN=106, exitN=103 |
2.3% | -53.8% | 0.22 | 0.04 | 3.4x | 62 | 61% |
| ADX / DI 방향성 period=39, threshold=29 |
-0.1% | -27.0% | -0.01 | -0.00 | 1.0x | 10 | 1% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
-0.4% | -42.9% | -0.06 | -0.01 | 0.8x | 38 | 4% |
| Supertrend period=18, mult=4 |
-2.6% | -90.7% | -0.08 | -0.03 | 0.2x | 272 | 56% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=21, mult=3.5 |
-1.7% | -65.6% | -0.17 | -0.03 | 0.4x | 142 | 15% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.3% | -97.7% | -0.26 | -0.05 | 0.1x | 465 | 52% |
| MACD fast=40, slow=72, signal=29 |
-5.5% | -95.9% | -0.29 | -0.06 | 0.0x | 357 | 52% |
| Buy and hold | 5.1% | -48.3% | 0.33 | 0.11 | 14.4x | 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 23-day return is greater than -14%
- Sell — Sell when the 23-day return drops to -14% or below