Trend-Following Backtester · Guide · backtest 한국어

equity · US

S&P Global Inc. backtest

10 trend-following strategies were compared on the full daily history of S&P Global Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 1973-02-21 ~ 2026-07-31daily bars 13,474 (53.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.5%, drawdown -75.8%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.9%, MDD -64.2%, Sharpe 0.55, 86% exposure.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=219, threshold=-0.1
10.9%-64.2%0.550.17255.0x12486%
EMA 크로스오버
fast=42, slow=286
9.3%-50.0%0.500.19117.6x5477%
Donchian 채널 돌파
entryN=16, exitN=56
9.2%-67.5%0.490.14110.0x17581%
볼린저 밴드 돌파
n=53, k=1
5.3%-48.7%0.370.1115.5x35953%
SMA 크로스오버
fast=19, slow=80
5.6%-49.0%0.370.1118.3x17764%
Supertrend
period=29, mult=4.3
5.1%-52.7%0.350.1014.3x23762%
Parabolic SAR
step=0.005, maxStep=0.38
4.8%-65.0%0.330.0712.3x44458%
MACD
fast=19, slow=62, signal=16
4.1%-53.4%0.300.088.7x55952%
Keltner 채널 돌파
emaPeriod=75, atrPeriod=24, mult=2
3.8%-55.7%0.290.077.2x27454%
ADX / DI 방향성
period=35, threshold=37
0.6%-14.4%0.200.041.4x61%
Buy and hold12.5%-75.8%0.550.16538.4x1100%
1x 10x 100x 1974 1981 1988 1995 2002 2009 2016 2023 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -76% 1974 1981 1988 1995 2002 2009 2016 2023 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -64.2% (1987-09-10 → 1991-01-08), recovered after 3,724 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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