Trend-Following Backtester · Guide · backtest 한국어
equity · US
AZZ Inc. backtest
10 trend-following strategies were compared on the full daily history of AZZ Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -92.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -82.8%, Sharpe 0.41, 57% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=376 |
8.5% | -82.8% | 0.41 | 0.10 | 43.8x | 37 | 57% |
| Donchian 채널 돌파 entryN=105, exitN=76 |
7.5% | -84.4% | 0.38 | 0.09 | 29.0x | 53 | 50% |
| EMA 크로스오버 fast=59, slow=153 |
5.9% | -76.7% | 0.34 | 0.08 | 14.6x | 59 | 56% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.0% | -87.5% | 0.26 | 0.03 | 4.0x | 518 | 50% |
| Supertrend period=28, mult=4.7 |
2.9% | -92.4% | 0.25 | 0.03 | 3.9x | 169 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=3.8 |
1.4% | -31.0% | 0.21 | 0.04 | 1.9x | 48 | 4% |
| ROC 모멘텀 n=215, threshold=0.08 |
1.1% | -88.8% | 0.19 | 0.01 | 1.7x | 363 | 48% |
| ADX / DI 방향성 period=32, threshold=37 |
1.2% | -31.2% | 0.18 | 0.04 | 1.8x | 18 | 2% |
| 볼린저 밴드 돌파 n=51, k=1.9 |
-0.4% | -84.2% | 0.12 | -0.01 | 0.8x | 216 | 32% |
| MACD fast=14, slow=37, signal=19 |
-7.2% | -99.8% | -0.04 | -0.07 | 0.0x | 612 | 50% |
| Buy and hold | 8.9% | -92.4% | 0.42 | 0.10 | 53.5x | 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 58-day average price crosses above the 376-day average
- Sell — Sell (to cash) when the 58-day average falls below the 376-day average