Trend-Following Backtester · Guide · backtest 한국어
equity · US
Abbott Laboratories backtest
10 trend-following strategies were compared on the full daily history of Abbott Laboratories. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -46.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.7%, MDD -43.2%, Sharpe 0.48, 89% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=133, threshold=-0.12 |
8.7% | -43.2% | 0.48 | 0.20 | 47.6x | 153 | 89% |
| SMA 크로스오버 fast=26, slow=211 |
7.6% | -45.8% | 0.47 | 0.17 | 30.5x | 75 | 70% |
| Donchian 채널 돌파 entryN=14, exitN=76 |
7.5% | -54.7% | 0.44 | 0.14 | 29.4x | 111 | 87% |
| EMA 크로스오버 fast=52, slow=114 |
6.8% | -55.3% | 0.43 | 0.12 | 21.6x | 79 | 70% |
| Supertrend period=13, mult=5 |
3.6% | -41.7% | 0.29 | 0.09 | 5.2x | 135 | 60% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
0.3% | -37.6% | 0.08 | 0.01 | 1.2x | 50 | 12% |
| ADX / DI 방향성 period=16, threshold=46 |
0.1% | -11.2% | 0.08 | 0.01 | 1.1x | 6 | 0% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.1% | -78.1% | 0.03 | -0.01 | 0.6x | 417 | 58% |
| MACD fast=25, slow=31, signal=19 |
-1.4% | -69.0% | 0.00 | -0.02 | 0.5x | 525 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=25, mult=3.1 |
-0.9% | -71.8% | -0.01 | -0.01 | 0.6x | 175 | 31% |
| Buy and hold | 12.3% | -46.3% | 0.58 | 0.27 | 219.0x | 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 133-day return is greater than -12%
- Sell — Sell when the 133-day return drops to -12% or below