Trend-Following Backtester · Guide · backtest 한국어
equity · US
CNH Industrial N.V. backtest
10 trend-following strategies were compared on the full daily history of CNH Industrial N.V.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.7%, MDD -16.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.6%, drawdown -66.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.7%, MDD -16.6%, Sharpe 0.64, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 6.7%, MDD -16.6%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=78, k=3.4 |
6.7% | -16.6% | 0.64 | 0.40 | 2.3x | 9 | 15% |
| Donchian 채널 돌파 entryN=101, exitN=75 |
5.6% | -47.6% | 0.35 | 0.12 | 2.0x | 15 | 44% |
| SMA 크로스오버 fast=31, slow=68 |
5.1% | -47.7% | 0.33 | 0.11 | 1.9x | 45 | 55% |
| ROC 모멘텀 n=68, threshold=-0.09 |
2.0% | -52.5% | 0.21 | 0.04 | 1.3x | 107 | 71% |
| ADX / DI 방향성 period=23, threshold=24 |
1.2% | -19.3% | 0.20 | 0.06 | 1.2x | 22 | 6% |
| EMA 크로스오버 fast=64, slow=161 |
1.7% | -47.8% | 0.19 | 0.04 | 1.3x | 18 | 41% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=15, mult=4 |
1.3% | -30.3% | 0.18 | 0.04 | 1.2x | 16 | 10% |
| Supertrend period=27, mult=5 |
1.4% | -51.8% | 0.17 | 0.03 | 1.2x | 46 | 50% |
| MACD fast=12, slow=50, signal=14 |
-12.4% | -83.4% | -0.43 | -0.15 | 0.2x | 201 | 49% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-14.3% | -86.8% | -0.52 | -0.16 | 0.1x | 323 | 51% |
| Buy and hold | 0.6% | -66.9% | 0.20 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 78-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 78-day middle average