Trend-Following Backtester · Guide · backtest 한국어
equity · US
Phibro Animal Health Corporation backtest
10 trend-following strategies were compared on the full daily history of Phibro Animal Health Corporation. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.5%, MDD -27.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.3%, drawdown -82.1%).
Sharpe leader (same as main): Supertrend — CAGR 16.1%, MDD -43.8%, Sharpe 0.63, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 7.5%, MDD -27.9%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=4.9 |
16.1% | -43.8% | 0.63 | 0.37 | 6.3x | 22 | 53% |
| SMA 크로스오버 fast=57, slow=125 |
9.3% | -52.1% | 0.44 | 0.18 | 3.0x | 20 | 50% |
| ROC 모멘텀 n=122, threshold=0.2 |
7.5% | -27.9% | 0.43 | 0.27 | 2.4x | 48 | 31% |
| Donchian 채널 돌파 entryN=116, exitN=54 |
8.0% | -38.9% | 0.42 | 0.20 | 2.6x | 16 | 38% |
| EMA 크로스오버 fast=32, slow=106 |
7.8% | -65.1% | 0.40 | 0.12 | 2.5x | 22 | 50% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
4.0% | -23.0% | 0.38 | 0.17 | 1.6x | 14 | 13% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=3.2 |
4.1% | -47.9% | 0.31 | 0.09 | 1.6x | 30 | 26% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.3% | -82.1% | 0.15 | -0.00 | 1.0x | 107 | 53% |
| ADX / DI 방향성 period=24, threshold=22 |
-0.3% | -47.8% | 0.07 | -0.01 | 1.0x | 45 | 20% |
| MACD fast=13, slow=30, signal=10 |
-4.3% | -86.9% | 0.01 | -0.05 | 0.6x | 201 | 50% |
| Buy and hold | 6.3% | -82.1% | 0.36 | 0.08 | 2.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)