Trend-Following Backtester · Guide · backtest 한국어
equity · DE
Alphabet Inc. Class C backtest
10 trend-following strategies were compared on the full daily history of Alphabet Inc. Class C. 1 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
1 of 10 beat buy and hold (CAGR 23.9%, drawdown -38.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 25.2%, MDD -39.7%, Sharpe 0.94, 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=13, threshold=-0.15 |
25.2% | -39.7% | 0.94 | 0.64 | 16.6x | 9 | 99% |
| Donchian 채널 돌파 entryN=86, exitN=123 |
20.8% | -31.5% | 0.87 | 0.66 | 10.6x | 7 | 82% |
| EMA 크로스오버 fast=49, slow=182 |
20.1% | -31.5% | 0.86 | 0.64 | 9.8x | 9 | 81% |
| Supertrend period=7, mult=4.8 |
16.5% | -31.8% | 0.84 | 0.52 | 6.7x | 45 | 58% |
| MACD fast=53, slow=68, signal=20 |
14.9% | -27.4% | 0.79 | 0.55 | 5.7x | 70 | 52% |
| SMA 크로스오버 fast=53, slow=193 |
17.5% | -33.5% | 0.78 | 0.52 | 7.5x | 15 | 74% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
11.6% | -32.4% | 0.65 | 0.36 | 3.9x | 88 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=2 |
9.6% | -36.3% | 0.56 | 0.27 | 3.2x | 70 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
7.0% | -39.9% | 0.42 | 0.18 | 2.3x | 165 | 60% |
| ADX / DI 방향성 period=15, threshold=8 |
1.7% | -50.6% | 0.18 | 0.03 | 1.2x | 277 | 59% |
| Buy and hold | 23.9% | -38.7% | 0.89 | 0.62 | 14.6x | 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 13-day return is greater than -15%
- Sell — Sell when the 13-day return drops to -15% or below