Trend-Following Backtester · Guide · backtest 한국어
equity · US
Roper Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Roper Technologies, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.8%, MDD -38.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -59.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -38.7%, Sharpe 0.60, 72% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 20.4%p (CAGR 12.8%, MDD -38.7%, exposure 72%).
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=66, slow=238 |
12.8% | -38.7% | 0.60 | 0.33 | 63.1x | 38 | 72% |
| Donchian 채널 돌파 entryN=107, exitN=42 |
9.8% | -32.0% | 0.58 | 0.31 | 25.4x | 65 | 50% |
| ROC 모멘텀 n=114, threshold=-0.12 |
12.1% | -59.1% | 0.55 | 0.20 | 50.6x | 133 | 87% |
| Supertrend period=14, mult=4 |
9.3% | -43.4% | 0.50 | 0.21 | 21.4x | 141 | 63% |
| EMA 크로스오버 fast=47, slow=215 |
9.7% | -55.6% | 0.49 | 0.17 | 24.4x | 46 | 76% |
| ADX / DI 방향성 period=36, threshold=24 |
5.7% | -25.8% | 0.48 | 0.22 | 6.7x | 38 | 13% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
5.1% | -26.3% | 0.43 | 0.19 | 5.6x | 43 | 16% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=2.7 |
5.7% | -39.3% | 0.39 | 0.14 | 6.7x | 141 | 42% |
| Parabolic SAR step=0.005, maxStep=0.08 |
5.2% | -61.0% | 0.33 | 0.08 | 5.7x | 287 | 59% |
| MACD fast=24, slow=53, signal=24 |
3.8% | -53.4% | 0.28 | 0.07 | 3.6x | 307 | 50% |
| Buy and hold | 16.5% | -59.0% | 0.62 | 0.28 | 190.6x | 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 66-day average price crosses above the 238-day average
- Sell — Sell (to cash) when the 66-day average falls below the 238-day average