Trend-Following Backtester · Guide · backtest 한국어
equity · US
Baxter International Inc. backtest
10 trend-following strategies were compared on the full daily history of Baxter International Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.8%, MDD -57.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -83.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.8%, MDD -57.6%, Sharpe 0.28, 78% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 25.6%p (CAGR 3.8%, MDD -57.6%, exposure 78%).
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=195, threshold=-0.11 |
3.8% | -57.6% | 0.28 | 0.07 | 5.4x | 201 | 78% |
| SMA 크로스오버 fast=21, slow=175 |
3.0% | -68.8% | 0.25 | 0.04 | 3.7x | 95 | 60% |
| EMA 크로스오버 fast=54, slow=182 |
3.0% | -52.3% | 0.25 | 0.06 | 3.7x | 71 | 62% |
| Donchian 채널 돌파 entryN=14, exitN=59 |
3.0% | -75.6% | 0.24 | 0.04 | 3.7x | 139 | 80% |
| ADX / DI 방향성 period=28, threshold=36 |
0.2% | -4.7% | 0.16 | 0.04 | 1.1x | 2 | 1% |
| Supertrend period=22, mult=5 |
1.3% | -60.8% | 0.16 | 0.02 | 1.8x | 127 | 56% |
| MACD fast=50, slow=70, signal=31 |
-2.4% | -85.4% | -0.03 | -0.03 | 0.3x | 265 | 51% |
| 볼린저 밴드 돌파 n=59, k=1.1 |
-3.6% | -88.3% | -0.13 | -0.04 | 0.2x | 309 | 46% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.6% | -93.7% | -0.13 | -0.05 | 0.1x | 371 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=14, mult=2 |
-3.8% | -88.7% | -0.18 | -0.04 | 0.2x | 283 | 38% |
| Buy and hold | 4.4% | -83.2% | 0.29 | 0.05 | 6.8x | 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 195-day return is greater than -11%
- Sell — Sell when the 195-day return drops to -11% or below