Trend-Following Backtester · Guide · backtest 한국어
equity · US
Adient plc backtest
10 trend-following strategies were compared on the full daily history of Adient plc. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.8%, MDD -10.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.4%, drawdown -92.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.7%, MDD -24.2%, Sharpe 0.47, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.1%p higher than buy and hold, while drawdown improves by 68.2%p (CAGR 1.8%, MDD -10.9%, exposure 5%).
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=70, threshold=0.24 |
7.7% | -24.2% | 0.47 | 0.32 | 2.1x | 68 | 17% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=19, mult=2.3 |
4.9% | -17.7% | 0.42 | 0.28 | 1.6x | 28 | 8% |
| Supertrend period=18, mult=5 |
6.7% | -60.8% | 0.36 | 0.11 | 1.9x | 24 | 42% |
| 볼린저 밴드 돌파 n=35, k=3.1 |
3.3% | -27.3% | 0.32 | 0.12 | 1.4x | 6 | 5% |
| ADX / DI 방향성 period=20, threshold=34 |
1.8% | -10.9% | 0.27 | 0.16 | 1.2x | 8 | 5% |
| Donchian 채널 돌파 entryN=21, exitN=41 |
-2.0% | -65.8% | 0.15 | -0.03 | 0.8x | 36 | 57% |
| SMA 크로스오버 fast=37, slow=65 |
-5.0% | -85.0% | 0.07 | -0.06 | 0.6x | 42 | 42% |
| EMA 크로스오버 fast=73, slow=218 |
-2.9% | -62.5% | 0.04 | -0.05 | 0.8x | 12 | 35% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-12.8% | -89.0% | -0.19 | -0.14 | 0.3x | 92 | 45% |
| MACD fast=9, slow=27, signal=15 |
-16.2% | -90.4% | -0.24 | -0.18 | 0.2x | 183 | 51% |
| Buy and hold | -8.4% | -92.4% | 0.15 | -0.09 | 0.4x | 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 70-day return is greater than 24%
- Sell — Sell when the 70-day return drops to 24% or below