Trend-Following Backtester · Guide · backtest 한국어
equity · US
Becton, Dickinson and Company backtest
10 trend-following strategies were compared on the full daily history of Becton, Dickinson and Company. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -52.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -67.6%, Sharpe 0.41, 97% 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 97% n=35, threshold=-0.15 |
7.3% | -67.6% | 0.41 | 0.11 | 44.3x | 125 | 97% |
| SMA 크로스오버 fast=67, slow=257 |
5.4% | -55.3% | 0.37 | 0.10 | 17.1x | 65 | 63% |
| Donchian 채널 돌파 entryN=31, exitN=174 |
6.0% | -58.5% | 0.37 | 0.10 | 22.6x | 59 | 90% |
| ADX / DI 방향성 period=37, threshold=24 |
1.9% | -18.7% | 0.33 | 0.10 | 2.7x | 34 | 7% |
| EMA 크로스오버 fast=67, slow=212 |
3.0% | -76.9% | 0.25 | 0.04 | 4.9x | 77 | 66% |
| 볼린저 밴드 돌파 n=49, k=3.2 |
1.1% | -37.9% | 0.18 | 0.03 | 1.8x | 60 | 11% |
| Supertrend period=18, mult=4.7 |
-0.9% | -79.6% | 0.04 | -0.01 | 0.6x | 213 | 59% |
| MACD fast=24, slow=38, signal=24 |
-1.8% | -77.1% | -0.01 | -0.02 | 0.4x | 519 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=3.6 |
-0.7% | -61.8% | -0.04 | -0.01 | 0.7x | 121 | 14% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.8% | -94.5% | -0.19 | -0.05 | 0.1x | 485 | 55% |
| Buy and hold | 9.1% | -52.3% | 0.47 | 0.17 | 105.2x | 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 35-day return is greater than -15%
- Sell — Sell when the 35-day return drops to -15% or below