Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allison Transmission Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Allison Transmission Holdings, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.3%, drawdown -49.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.3%, MDD -42.9%, Sharpe 0.61, 79% 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=148, threshold=-0.09 |
12.3% | -42.9% | 0.61 | 0.29 | 5.4x | 63 | 79% |
| Donchian 채널 돌파 entryN=18, exitN=76 |
10.5% | -40.9% | 0.53 | 0.26 | 4.2x | 31 | 81% |
| 볼린저 밴드 돌파 n=31, k=3.4 |
2.7% | -11.6% | 0.48 | 0.23 | 1.5x | 12 | 6% |
| SMA 크로스오버 fast=29, slow=188 |
8.1% | -42.1% | 0.47 | 0.19 | 3.1x | 27 | 65% |
| EMA 크로스오버 fast=59, slow=106 |
7.7% | -47.7% | 0.45 | 0.16 | 2.9x | 27 | 67% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=3.1 |
1.6% | -20.9% | 0.28 | 0.08 | 1.3x | 28 | 9% |
| ADX / DI 방향성 period=9, threshold=38 |
1.6% | -30.6% | 0.21 | 0.05 | 1.3x | 81 | 14% |
| MACD fast=13, slow=45, signal=13 |
1.8% | -56.2% | 0.19 | 0.03 | 1.3x | 199 | 50% |
| Supertrend period=20, mult=3.5 |
1.4% | -58.3% | 0.17 | 0.02 | 1.2x | 83 | 56% |
| Parabolic SAR step=0.015, maxStep=0.34 |
0.5% | -63.3% | 0.12 | 0.01 | 1.1x | 261 | 52% |
| Buy and hold | 12.3% | -49.7% | 0.55 | 0.25 | 5.3x | 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 148-day return is greater than -9%
- Sell — Sell when the 148-day return drops to -9% or below