Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alcoa Corporation backtest
10 trend-following strategies were compared on the full daily history of Alcoa Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.6%, MDD -61.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.3%, drawdown -95.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -61.9%, Sharpe 0.30, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 4.6%, MDD -61.9%, exposure 55%).
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=107 |
4.6% | -61.9% | 0.30 | 0.07 | 12.4x | 148 | 55% |
| Donchian 채널 돌파 entryN=7, exitN=105 |
4.3% | -83.6% | 0.29 | 0.05 | 10.7x | 178 | 90% |
| EMA 크로스오버 fast=37, slow=119 |
3.0% | -72.5% | 0.24 | 0.04 | 5.3x | 124 | 55% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
1.6% | -27.8% | 0.24 | 0.06 | 2.5x | 26 | 6% |
| Parabolic SAR step=0.005, maxStep=0.02 |
1.5% | -69.2% | 0.19 | 0.02 | 2.4x | 304 | 52% |
| Supertrend period=24, mult=5 |
1.4% | -77.2% | 0.18 | 0.02 | 2.1x | 214 | 54% |
| ROC 모멘텀 n=124, threshold=-0.04 |
0.7% | -81.4% | 0.17 | 0.01 | 1.5x | 508 | 62% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=1.3 |
1.0% | -75.1% | 0.16 | 0.01 | 1.7x | 464 | 44% |
| ADX / DI 방향성 period=34, threshold=17 |
-0.4% | -80.1% | 0.06 | -0.00 | 0.8x | 206 | 20% |
| MACD fast=16, slow=30, signal=16 |
-3.6% | -91.6% | 0.01 | -0.04 | 0.1x | 785 | 50% |
| Buy and hold | 3.3% | -95.2% | 0.28 | 0.03 | 6.3x | 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 107-day average
- Sell — Sell (to cash) when the 54-day average falls below the 107-day average