Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carrier Global Corporation backtest
10 trend-following strategies were compared on the full daily history of Carrier Global Corporation. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.7%, MDD -18.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 27.6%, drawdown -41.6%).
Sharpe leader (same as main): Supertrend — CAGR 28.7%, MDD -18.9%, Sharpe 1.16, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 28.7%, MDD -18.9%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=3.6 |
28.7% | -18.9% | 1.16 | 1.52 | 5.1x | 24 | 56% |
| Donchian 채널 돌파 entryN=22, exitN=64 |
22.1% | -31.5% | 0.86 | 0.70 | 3.6x | 14 | 74% |
| EMA 크로스오버 fast=17, slow=22 |
17.7% | -33.8% | 0.78 | 0.52 | 2.9x | 42 | 58% |
| 볼린저 밴드 돌파 n=16, k=2.5 |
9.6% | -19.0% | 0.72 | 0.51 | 1.8x | 36 | 21% |
| ROC 모멘텀 n=22, threshold=0.03 |
13.6% | -35.4% | 0.68 | 0.38 | 2.3x | 130 | 44% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=15, mult=1.1 |
11.6% | -29.4% | 0.63 | 0.40 | 2.0x | 70 | 39% |
| SMA 크로스오버 fast=59, slow=131 |
12.2% | -37.1% | 0.59 | 0.33 | 2.1x | 13 | 63% |
| MACD fast=17, slow=31, signal=16 |
10.3% | -28.3% | 0.55 | 0.36 | 1.9x | 70 | 48% |
| Parabolic SAR step=0.005, maxStep=0.12 |
11.6% | -30.5% | 0.52 | 0.38 | 2.0x | 60 | 53% |
| ADX / DI 방향성 period=26, threshold=13 |
8.9% | -41.6% | 0.52 | 0.21 | 1.7x | 70 | 46% |
| Buy and hold | 27.6% | -41.6% | 0.84 | 0.66 | 4.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)