Trend-Following Backtester · Guide · backtest 한국어
equity · US
Moody's Corporation backtest
10 trend-following strategies were compared on the full daily history of Moody's Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -79.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -71.1%, Sharpe 0.57, 78% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.6%, MDD -78.0%, exposure 95%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=38, exitN=74 |
11.5% | -71.1% | 0.57 | 0.16 | 31.9x | 53 | 78% |
| SMA 크로스오버 fast=12, slow=111 |
10.3% | -37.6% | 0.56 | 0.27 | 22.4x | 87 | 70% |
| EMA 크로스오버 fast=28, slow=81 |
10.0% | -47.0% | 0.54 | 0.21 | 20.8x | 67 | 71% |
| ROC 모멘텀 n=24, threshold=-0.13 |
11.6% | -78.0% | 0.53 | 0.15 | 32.8x | 131 | 95% |
| Supertrend period=22, mult=5 |
7.6% | -51.7% | 0.45 | 0.15 | 10.2x | 93 | 65% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
2.3% | -29.8% | 0.32 | 0.08 | 2.0x | 29 | 14% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=18, mult=2.3 |
4.0% | -53.1% | 0.31 | 0.08 | 3.5x | 141 | 53% |
| ADX / DI 방향성 period=38, threshold=24 |
0.9% | -23.0% | 0.17 | 0.04 | 1.3x | 40 | 10% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.1% | -67.5% | 0.16 | 0.02 | 1.4x | 283 | 60% |
| MACD fast=23, slow=56, signal=24 |
1.1% | -70.2% | 0.16 | 0.02 | 1.4x | 287 | 54% |
| Buy and hold | 13.7% | -79.1% | 0.56 | 0.17 | 60.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 38 days
- Sell — Sell when price breaks below the lowest low of the last 74 days