Trend-Following Backtester · Guide · backtest 한국어
equity · US
Colgate-Palmolive Company backtest
10 trend-following strategies were compared on the full daily history of Colgate-Palmolive Company. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -67.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.1%, MDD -73.1%, Sharpe 0.36, 100% 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 100% n=3, threshold=-0.09 |
6.1% | -73.1% | 0.36 | 0.08 | 23.3x | 71 | 100% |
| SMA 크로스오버 fast=76, slow=215 |
5.1% | -51.0% | 0.36 | 0.10 | 14.3x | 69 | 63% |
| Donchian 채널 돌파 entryN=11, exitN=78 |
4.2% | -63.2% | 0.30 | 0.07 | 8.9x | 145 | 87% |
| EMA 크로스오버 fast=78, slow=239 |
2.9% | -67.7% | 0.24 | 0.04 | 4.6x | 61 | 68% |
| Supertrend period=12, mult=4.4 |
-0.4% | -65.2% | 0.07 | -0.01 | 0.8x | 203 | 56% |
| MACD fast=30, slow=48, signal=26 |
-1.6% | -77.4% | -0.01 | -0.02 | 0.4x | 446 | 51% |
| ADX / DI 방향성 period=39, threshold=22 |
-0.2% | -34.4% | -0.03 | -0.01 | 0.9x | 38 | 5% |
| 볼린저 밴드 돌파 n=15, k=3.2 |
-0.2% | -29.2% | -0.03 | -0.01 | 0.9x | 24 | 1% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-2.1% | -81.0% | -0.04 | -0.03 | 0.3x | 451 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=3.9 |
-0.1% | -9.4% | -0.12 | -0.01 | 0.9x | 2 | 0% |
| Buy and hold | 7.4% | -67.6% | 0.41 | 0.11 | 45.4x | 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 3-day return is greater than -9%
- Sell — Sell when the 3-day return drops to -9% or below