Trend-Following Backtester · Guide · backtest 한국어
equity · US
Automatic Data Processing, Inc. backtest
10 trend-following strategies were compared on the full daily history of Automatic Data Processing, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -40.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -60.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -40.3%, Sharpe 0.56, 77% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 20.2%p (CAGR 10.3%, MDD -40.3%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=361 |
10.3% | -40.3% | 0.56 | 0.26 | 93.2x | 26 | 77% |
| EMA 크로스오버 fast=46, slow=232 |
8.9% | -50.1% | 0.51 | 0.18 | 52.4x | 56 | 77% |
| Donchian 채널 돌파 Hold-like · Exposure 95% entryN=5, exitN=95 |
9.3% | -53.4% | 0.49 | 0.17 | 61.9x | 105 | 95% |
| ROC 모멘텀 n=128, threshold=-0.01 |
4.7% | -51.2% | 0.33 | 0.09 | 8.5x | 359 | 72% |
| ADX / DI 방향성 period=37, threshold=34 |
0.6% | -11.4% | 0.24 | 0.05 | 1.3x | 2 | 1% |
| Supertrend period=8, mult=5 |
2.2% | -58.1% | 0.21 | 0.04 | 2.7x | 161 | 60% |
| MACD fast=31, slow=56, signal=19 |
-0.1% | -77.5% | 0.08 | -0.00 | 1.0x | 403 | 50% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
-0.1% | -35.6% | -0.00 | -0.00 | 0.9x | 22 | 3% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.5% | -88.8% | -0.05 | -0.03 | 0.3x | 439 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=3.9 |
-1.7% | -74.7% | -0.09 | -0.02 | 0.4x | 137 | 26% |
| Buy and hold | 13.3% | -60.4% | 0.61 | 0.22 | 324.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 361-day average
- Sell — Sell (to cash) when the 59-day average falls below the 361-day average