Trend-Following Backtester · Guide · backtest 한국어
equity · US
Conduent Incorporated backtest
10 trend-following strategies were compared on the full daily history of Conduent Incorporated. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -21.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.5%, drawdown -95.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.2%, MDD -53.3%, Sharpe 0.29, 28% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.6%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 2.9%, MDD -21.3%, exposure 8%).
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=0.07 |
4.2% | -53.3% | 0.29 | 0.08 | 1.5x | 50 | 28% |
| ADX / DI 방향성 period=38, threshold=21 |
2.9% | -21.3% | 0.27 | 0.14 | 1.3x | 8 | 8% |
| SMA 크로스오버 fast=66, slow=96 |
-1.0% | -69.3% | 0.17 | -0.01 | 0.9x | 29 | 45% |
| MACD fast=10, slow=26, signal=15 |
-3.1% | -63.8% | 0.14 | -0.05 | 0.7x | 143 | 49% |
| Donchian 채널 돌파 entryN=13, exitN=45 |
-9.7% | -86.3% | 0.04 | -0.11 | 0.4x | 46 | 71% |
| EMA 크로스오버 fast=54, slow=124 |
-4.0% | -66.3% | -0.02 | -0.06 | 0.7x | 14 | 35% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=4 |
-2.1% | -48.4% | -0.05 | -0.04 | 0.8x | 12 | 12% |
| Supertrend period=22, mult=1.3 |
-11.6% | -82.9% | -0.09 | -0.14 | 0.3x | 187 | 48% |
| 볼린저 밴드 돌파 n=16, k=1.7 |
-10.6% | -81.0% | -0.14 | -0.13 | 0.3x | 127 | 30% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-14.8% | -81.6% | -0.15 | -0.18 | 0.2x | 127 | 47% |
| Buy and hold | -21.5% | -95.0% | -0.08 | -0.23 | 0.1x | 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 7%
- Sell — Sell when the 148-day return drops to 7% or below