Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eastman Kodak Company backtest
10 trend-following strategies were compared on the full daily history of Eastman Kodak Company. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.1%, MDD -72.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.8%, drawdown -95.8%).
Sharpe leader (same as main): MACD — CAGR 21.7%, MDD -79.5%, Sharpe 0.47, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 27.5%p higher than buy and hold, while drawdown improves by 16.3%p (CAGR 12.1%, MDD -72.3%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=28, signal=6 |
21.7% | -79.5% | 0.47 | 0.27 | 12.7x | 244 | 51% |
| Parabolic SAR step=0.015, maxStep=0.26 |
11.2% | -75.2% | 0.38 | 0.15 | 3.9x | 214 | 45% |
| Supertrend period=8, mult=2 |
9.1% | -75.0% | 0.36 | 0.12 | 3.1x | 150 | 41% |
| ROC 모멘텀 n=6, threshold=0.1 |
12.1% | -72.3% | 0.35 | 0.17 | 4.4x | 216 | 11% |
| 볼린저 밴드 돌파 n=15, k=2.1 |
7.6% | -76.6% | 0.33 | 0.10 | 2.6x | 124 | 21% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=2 |
8.2% | -88.0% | 0.31 | 0.09 | 2.8x | 58 | 10% |
| ADX / DI 방향성 period=5, threshold=14 |
-5.1% | -89.3% | 0.27 | -0.06 | 0.5x | 486 | 47% |
| SMA 크로스오버 fast=52, slow=110 |
-0.5% | -87.2% | 0.27 | -0.01 | 0.9x | 38 | 39% |
| Donchian 채널 돌파 entryN=27, exitN=69 |
-10.0% | -91.5% | 0.23 | -0.11 | 0.3x | 37 | 65% |
| EMA 크로스오버 fast=35, slow=170 |
-12.0% | -92.2% | 0.11 | -0.13 | 0.2x | 23 | 34% |
| Buy and hold | -5.8% | -95.8% | 0.32 | -0.06 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/28) crosses above its 6-day signal line
- Sell — Sell when the MACD line crosses back below the signal line