Trend-Following Backtester · Guide · backtest 한국어
equity · US
Motorola Solutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Motorola Solutions, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -60.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -94.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -60.3%, Sharpe 0.44, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 34.0%p (CAGR 8.1%, MDD -60.3%, exposure 59%).
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=8, slow=114 |
8.1% | -60.3% | 0.44 | 0.13 | 83.3x | 176 | 59% |
| Supertrend period=36, mult=5 |
7.8% | -64.3% | 0.44 | 0.12 | 70.2x | 186 | 54% |
| 볼린저 밴드 돌파 n=67, k=1.4 |
7.3% | -49.5% | 0.44 | 0.15 | 52.7x | 245 | 46% |
| EMA 크로스오버 fast=47, slow=51 |
7.6% | -58.2% | 0.42 | 0.13 | 62.7x | 130 | 60% |
| Donchian 채널 돌파 entryN=57, exitN=64 |
6.7% | -65.3% | 0.38 | 0.10 | 38.3x | 116 | 63% |
| ROC 모멘텀 n=83, threshold=-0.15 |
6.4% | -80.8% | 0.36 | 0.08 | 33.1x | 335 | 84% |
| ADX / DI 방향성 period=50, threshold=16 |
3.9% | -38.1% | 0.33 | 0.10 | 8.7x | 114 | 21% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=0.9 |
4.9% | -78.3% | 0.32 | 0.06 | 14.8x | 485 | 51% |
| MACD fast=29, slow=53, signal=19 |
0.6% | -83.0% | 0.15 | 0.01 | 1.4x | 517 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.3% | -81.2% | 0.11 | -0.00 | 0.8x | 493 | 55% |
| Buy and hold | 8.9% | -94.2% | 0.42 | 0.09 | 126.6x | 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 8-day average price crosses above the 114-day average
- Sell — Sell (to cash) when the 8-day average falls below the 114-day average