Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cummins Inc. backtest
10 trend-following strategies were compared on the full daily history of Cummins Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.1%, MDD -44.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.4%, drawdown -76.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -44.9%, Sharpe 0.63, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 13.1%, MDD -44.9%, exposure 58%).
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=39, slow=75 |
13.1% | -44.9% | 0.63 | 0.29 | 723.4x | 163 | 58% |
| Donchian 채널 돌파 entryN=38, exitN=75 |
12.0% | -55.5% | 0.56 | 0.22 | 417.9x | 105 | 70% |
| EMA 크로스오버 fast=47, slow=49 |
10.1% | -58.3% | 0.53 | 0.17 | 170.9x | 137 | 58% |
| ROC 모멘텀 n=85, threshold=0.02 |
7.9% | -53.6% | 0.44 | 0.15 | 57.3x | 521 | 55% |
| 볼린저 밴드 돌파 n=46, k=1.1 |
6.9% | -63.2% | 0.42 | 0.11 | 34.8x | 368 | 47% |
| Supertrend period=20, mult=4.1 |
6.3% | -68.2% | 0.38 | 0.09 | 26.8x | 292 | 56% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=3.2 |
4.2% | -49.8% | 0.33 | 0.08 | 9.1x | 210 | 32% |
| ADX / DI 방향성 period=55, threshold=12 |
3.6% | -69.2% | 0.29 | 0.05 | 6.6x | 220 | 34% |
| MACD fast=20, slow=54, signal=18 |
2.5% | -54.2% | 0.22 | 0.05 | 3.8x | 550 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.6% | -77.6% | 0.19 | 0.02 | 2.4x | 462 | 54% |
| Buy and hold | 9.4% | -76.4% | 0.43 | 0.12 | 120.6x | 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 39-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 39-day average falls below the 75-day average