Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stanley Black & Decker, Inc. backtest
10 trend-following strategies were compared on the full daily history of Stanley Black & Decker, Inc.. 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 6.4%, drawdown -74.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.3%, MDD -72.9%, Sharpe 0.35, 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=2, threshold=-0.15 |
6.3% | -72.9% | 0.35 | 0.09 | 17.1x | 21 | 100% |
| Donchian 채널 돌파 entryN=17, exitN=199 |
5.6% | -65.6% | 0.33 | 0.09 | 12.6x | 57 | 91% |
| EMA 크로스오버 fast=50, slow=159 |
2.7% | -60.6% | 0.23 | 0.04 | 3.4x | 79 | 62% |
| SMA 크로스오버 fast=36, slow=114 |
1.7% | -61.9% | 0.19 | 0.03 | 2.2x | 111 | 57% |
| 볼린저 밴드 돌파 n=59, k=2.1 |
0.9% | -42.7% | 0.14 | 0.02 | 1.5x | 167 | 34% |
| ADX / DI 방향성 period=16, threshold=38 |
0.6% | -20.5% | 0.13 | 0.03 | 1.3x | 46 | 3% |
| Supertrend period=14, mult=5 |
0.1% | -62.9% | 0.11 | 0.00 | 1.0x | 157 | 57% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.4% | -76.7% | 0.09 | -0.01 | 0.8x | 391 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=2.2 |
-0.2% | -55.4% | 0.07 | -0.00 | 0.9x | 251 | 39% |
| MACD fast=19, slow=52, signal=18 |
-4.2% | -93.4% | -0.08 | -0.04 | 0.1x | 523 | 51% |
| Buy and hold | 6.4% | -74.7% | 0.35 | 0.09 | 17.9x | 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 2-day return is greater than -15%
- Sell — Sell when the 2-day return drops to -15% or below