Trend-Following Backtester · Guide · backtest 한국어
equity · US
STERIS plc (Ireland) backtest
10 trend-following strategies were compared on the full daily history of STERIS plc (Ireland). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.8%, drawdown -77.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.0%, MDD -84.2%, Sharpe 0.54, 100% 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 100% n=1, threshold=-0.15 |
14.0% | -84.2% | 0.54 | 0.17 | 88.4x | 17 | 100% |
| SMA 크로스오버 fast=56, slow=223 |
5.2% | -76.0% | 0.32 | 0.07 | 5.6x | 50 | 69% |
| EMA 크로스오버 fast=35, slow=172 |
3.7% | -73.8% | 0.27 | 0.05 | 3.4x | 76 | 71% |
| ADX / DI 방향성 period=35, threshold=28 |
1.3% | -20.6% | 0.27 | 0.06 | 1.5x | 8 | 2% |
| Donchian 채널 돌파 entryN=18, exitN=57 |
3.0% | -82.1% | 0.25 | 0.04 | 2.7x | 113 | 80% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=8, mult=4 |
0.8% | -9.4% | 0.22 | 0.08 | 1.3x | 2 | 1% |
| MACD fast=18, slow=34, signal=19 |
1.1% | -58.3% | 0.17 | 0.02 | 1.5x | 401 | 52% |
| Supertrend period=28, mult=5 |
0.9% | -74.6% | 0.16 | 0.01 | 1.4x | 115 | 56% |
| 볼린저 밴드 돌파 n=50, k=3 |
1.2% | -51.4% | 0.15 | 0.02 | 1.5x | 65 | 18% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.4% | -92.1% | -0.04 | -0.05 | 0.2x | 303 | 57% |
| Buy and hold | 14.8% | -77.2% | 0.55 | 0.19 | 110.2x | 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 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below