Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carpenter Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Carpenter Technology Corporation. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 10.2%, drawdown -85.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.7%, MDD -83.3%, Sharpe 0.48, 84% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.1%, MDD -81.3%, exposure 92%.
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 n=124, threshold=-0.15 |
10.7% | -83.3% | 0.48 | 0.13 | 229.2x | 257 | 84% |
| Donchian 채널 돌파 entryN=5, exitN=92 |
11.1% | -81.3% | 0.48 | 0.14 | 283.7x | 167 | 92% |
| EMA 크로스오버 fast=57, slow=188 |
8.4% | -79.2% | 0.43 | 0.11 | 72.7x | 69 | 63% |
| SMA 크로스오버 fast=50, slow=189 |
7.6% | -84.2% | 0.40 | 0.09 | 51.2x | 91 | 61% |
| MACD fast=9, slow=22, signal=15 |
5.5% | -64.2% | 0.33 | 0.09 | 17.2x | 934 | 51% |
| Supertrend period=8, mult=2.8 |
4.9% | -74.9% | 0.31 | 0.07 | 12.9x | 534 | 53% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=19, mult=1.1 |
3.5% | -76.0% | 0.27 | 0.05 | 6.2x | 738 | 39% |
| 볼린저 밴드 돌파 n=20, k=1.7 |
2.7% | -73.9% | 0.23 | 0.04 | 4.1x | 610 | 36% |
| Parabolic SAR step=0.01, maxStep=0.36 |
2.3% | -86.6% | 0.22 | 0.03 | 3.4x | 722 | 53% |
| ADX / DI 방향성 period=12, threshold=16 |
0.6% | -86.3% | 0.15 | 0.01 | 1.4x | 1068 | 48% |
| Buy and hold | 10.2% | -85.0% | 0.45 | 0.12 | 178.9x | 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 124-day return is greater than -15%
- Sell — Sell when the 124-day return drops to -15% or below