Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Alphabet Inc. Class C backtest
10 trend-following strategies were compared on the full daily history of Alphabet Inc. Class C. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.5%, MDD -16.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.3%, drawdown -95.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.0%, MDD -31.0%, Sharpe 1.04, 86% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.3%p higher than buy and hold, while drawdown improves by 64.5%p (CAGR 13.5%, MDD -16.6%, exposure 49%).
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=148, threshold=-0.09 |
26.0% | -31.0% | 1.04 | 0.84 | 18.0x | 19 | 86% |
| SMA 크로스오버 fast=18, slow=210 |
23.6% | -24.0% | 1.02 | 0.98 | 14.1x | 12 | 75% |
| EMA 크로스오버 fast=58, slow=72 |
20.2% | -29.1% | 0.92 | 0.70 | 10.0x | 18 | 70% |
| Donchian 채널 돌파 entryN=82, exitN=27 |
13.5% | -16.6% | 0.77 | 0.81 | 4.9x | 36 | 49% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=7, mult=3.1 |
13.1% | -20.5% | 0.76 | 0.64 | 4.7x | 54 | 48% |
| Supertrend period=12, mult=4.2 |
13.7% | -35.0% | 0.71 | 0.39 | 5.0x | 84 | 58% |
| 볼린저 밴드 돌파 n=59, k=1.8 |
10.0% | -30.7% | 0.61 | 0.33 | 3.3x | 56 | 49% |
| MACD fast=24, slow=55, signal=20 |
9.5% | -42.2% | 0.55 | 0.23 | 3.1x | 107 | 52% |
| ADX / DI 방향성 period=28, threshold=11 |
3.6% | -34.2% | 0.28 | 0.10 | 1.5x | 144 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-16.6% | -96.2% | 0.05 | -0.17 | 0.1x | 157 | 56% |
| Buy and hold | -1.3% | -95.5% | 0.49 | -0.01 | 0.8x | 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 148-day return is greater than -9%
- Sell — Sell when the 148-day return drops to -9% or below