Trend-Following Backtester · Guide · backtest 한국어
equity · US
ScanSource, Inc. backtest
10 trend-following strategies were compared on the full daily history of ScanSource, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -67.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -76.0%, Sharpe 0.41, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
8.5% | -76.0% | 0.41 | 0.11 | 14.1x | 49 | 100% |
| Donchian 채널 돌파 entryN=5, exitN=76 |
4.8% | -70.2% | 0.32 | 0.07 | 4.6x | 127 | 90% |
| SMA 크로스오버 fast=59, slow=67 |
-0.1% | -93.5% | 0.15 | -0.00 | 1.0x | 231 | 55% |
| ADX / DI 방향성 period=33, threshold=34 |
0.3% | -12.2% | 0.11 | 0.03 | 1.1x | 4 | 1% |
| EMA 크로스오버 fast=77, slow=210 |
-2.1% | -93.2% | 0.11 | -0.02 | 0.5x | 57 | 63% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
0.2% | -43.8% | 0.07 | 0.00 | 1.1x | 24 | 6% |
| MACD fast=15, slow=31, signal=19 |
-2.9% | -81.5% | 0.05 | -0.04 | 0.4x | 417 | 50% |
| Supertrend period=11, mult=4.2 |
-3.6% | -93.2% | 0.05 | -0.04 | 0.3x | 143 | 58% |
| Parabolic SAR step=0.065, maxStep=0.3 |
-5.1% | -98.7% | -0.04 | -0.05 | 0.2x | 1253 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=2.9 |
-5.5% | -95.0% | -0.16 | -0.06 | 0.2x | 131 | 29% |
| Buy and hold | 11.4% | -67.5% | 0.47 | 0.17 | 32.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -12%
- Sell — Sell when the 1-day return drops to -12% or below