Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Cooper Companies, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Cooper Companies, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.9%, MDD -67.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.1%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -67.3%, Sharpe 0.42, 59% exposure.
CAGR reference leader: Supertrend — CAGR 9.2%, MDD -86.6%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 8.9%, MDD -67.3%, exposure 59%).
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=48, slow=205 |
8.9% | -67.3% | 0.42 | 0.13 | 41.8x | 54 | 59% |
| Supertrend period=7, mult=5 |
9.2% | -86.6% | 0.41 | 0.11 | 46.2x | 131 | 58% |
| EMA 크로스오버 fast=43, slow=179 |
6.6% | -69.2% | 0.36 | 0.10 | 16.5x | 57 | 60% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=1.9 |
5.5% | -85.4% | 0.33 | 0.06 | 10.5x | 228 | 40% |
| Donchian 채널 돌파 entryN=35, exitN=105 |
4.6% | -96.0% | 0.31 | 0.05 | 7.1x | 81 | 74% |
| ROC 모멘텀 n=141, threshold=-0.01 |
4.4% | -84.2% | 0.29 | 0.05 | 6.4x | 268 | 61% |
| ADX / DI 방향성 period=38, threshold=9 |
3.7% | -80.1% | 0.27 | 0.05 | 4.9x | 424 | 55% |
| 볼린저 밴드 돌파 n=48, k=2.1 |
3.5% | -82.3% | 0.26 | 0.04 | 4.5x | 172 | 34% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.3% | -86.2% | 0.26 | 0.04 | 4.1x | 540 | 51% |
| MACD fast=16, slow=51, signal=15 |
-2.3% | -98.6% | 0.13 | -0.02 | 0.4x | 566 | 51% |
| Buy and hold | 5.1% | -98.9% | 0.35 | 0.05 | 8.9x | 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 48-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 48-day average falls below the 205-day average