Trend-Following Backtester · Guide · backtest 한국어
equity · US
Old Dominion Freight Line, Inc. backtest
10 trend-following strategies were compared on the full daily history of Old Dominion Freight Line, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -66.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -56.1%, Sharpe 0.61, 66% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=54, slow=168 |
16.3% | -56.1% | 0.61 | 0.29 | 188.5x | 47 | 66% |
| EMA 크로스오버 fast=71, slow=177 |
13.3% | -59.1% | 0.54 | 0.22 | 76.0x | 39 | 67% |
| Keltner 채널 돌파 emaPeriod=228, atrPeriod=10, mult=3.3 |
9.4% | -60.5% | 0.47 | 0.15 | 22.5x | 57 | 56% |
| Donchian 채널 돌파 entryN=87, exitN=52 |
9.3% | -52.0% | 0.45 | 0.18 | 22.1x | 57 | 54% |
| Supertrend period=19, mult=4 |
8.8% | -67.5% | 0.42 | 0.13 | 18.8x | 128 | 61% |
| ROC 모멘텀 n=114, threshold=-0.03 |
3.1% | -94.2% | 0.26 | 0.03 | 2.9x | 293 | 69% |
| ADX / DI 방향성 period=24, threshold=34 |
0.8% | -17.5% | 0.17 | 0.05 | 1.3x | 24 | 3% |
| MACD fast=27, slow=98, signal=39 |
-0.1% | -87.9% | 0.16 | -0.00 | 1.0x | 230 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.2% | -87.3% | 0.13 | -0.01 | 0.7x | 284 | 54% |
| 볼린저 밴드 돌파 n=52, k=2 |
-1.3% | -79.3% | 0.06 | -0.02 | 0.6x | 174 | 39% |
| Buy and hold | 18.5% | -66.3% | 0.59 | 0.28 | 369.9x | 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 54-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 54-day average falls below the 168-day average