Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arthur J. Gallagher & Co. backtest
10 trend-following strategies were compared on the full daily history of Arthur J. Gallagher & Co.. 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 12.3%, drawdown -60.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.3%, MDD -60.1%, Sharpe 0.59, 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=2, threshold=-0.15 |
12.3% | -60.1% | 0.59 | 0.21 | 134.3x | 9 | 100% |
| Donchian 채널 돌파 entryN=5, exitN=75 |
9.7% | -62.9% | 0.51 | 0.15 | 49.7x | 153 | 92% |
| ADX / DI 방향성 period=29, threshold=47 |
1.6% | -7.2% | 0.50 | 0.22 | 1.9x | 2 | 2% |
| Supertrend period=8, mult=4.3 |
7.2% | -53.9% | 0.49 | 0.13 | 19.1x | 189 | 57% |
| SMA 크로스오버 fast=97, slow=176 |
7.0% | -51.2% | 0.44 | 0.14 | 17.4x | 56 | 67% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
2.5% | -27.2% | 0.44 | 0.09 | 2.8x | 34 | 4% |
| EMA 크로스오버 fast=71, slow=147 |
6.9% | -63.5% | 0.43 | 0.11 | 16.6x | 50 | 72% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.9% | -61.3% | 0.40 | 0.10 | 11.0x | 337 | 57% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=28, mult=1.8 |
4.1% | -47.5% | 0.36 | 0.09 | 5.4x | 321 | 35% |
| MACD fast=17, slow=24, signal=18 |
2.8% | -62.9% | 0.24 | 0.04 | 3.1x | 559 | 51% |
| Buy and hold | 12.3% | -60.7% | 0.59 | 0.20 | 134.6x | 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 2-day return is greater than -15%
- Sell — Sell when the 2-day return drops to -15% or below