Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Goodyear Tire & Rubber Company backtest
10 trend-following strategies were compared on the full daily history of The Goodyear Tire & Rubber Company. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -21.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.4%, drawdown -95.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -21.0%, Sharpe 0.32, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.9%, MDD -64.1%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 74.4%p (CAGR 1.8%, MDD -21.0%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=27 |
1.8% | -21.0% | 0.32 | 0.08 | 2.7x | 28 | 4% |
| Donchian 채널 돌파 entryN=63, exitN=31 |
3.9% | -64.1% | 0.28 | 0.06 | 8.7x | 140 | 39% |
| SMA 크로스오버 fast=43, slow=209 |
2.7% | -75.7% | 0.23 | 0.04 | 4.4x | 78 | 51% |
| Supertrend period=19, mult=3.5 |
2.5% | -81.8% | 0.22 | 0.03 | 4.0x | 317 | 50% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
1.4% | -32.9% | 0.21 | 0.04 | 2.2x | 42 | 7% |
| EMA 크로스오버 fast=23, slow=199 |
2.1% | -71.0% | 0.21 | 0.03 | 3.2x | 122 | 51% |
| ROC 모멘텀 n=112, threshold=-0.04 |
0.9% | -89.3% | 0.17 | 0.01 | 1.7x | 476 | 59% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.7% | -75.3% | 0.16 | 0.01 | 1.5x | 457 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=2.9 |
0.9% | -64.0% | 0.14 | 0.01 | 1.7x | 214 | 25% |
| MACD fast=19, slow=38, signal=17 |
-0.9% | -88.6% | 0.11 | -0.01 | 0.6x | 653 | 51% |
| Buy and hold | -1.4% | -95.4% | 0.17 | -0.02 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)