Trend-Following Backtester · Guide · backtest 한국어

equity · US

STERIS plc (Ireland) backtest

10 trend-following strategies were compared on the full daily history of STERIS plc (Ireland). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 1992-06-01 ~ 2026-07-31daily bars 8,602 (34.2 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 14.8%, drawdown -77.2%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.0%, MDD -84.2%, Sharpe 0.54, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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
Hold-like · Exposure 100%
n=1, threshold=-0.15
14.0%-84.2%0.540.1788.4x17100%
SMA 크로스오버
fast=56, slow=223
5.2%-76.0%0.320.075.6x5069%
EMA 크로스오버
fast=35, slow=172
3.7%-73.8%0.270.053.4x7671%
ADX / DI 방향성
period=35, threshold=28
1.3%-20.6%0.270.061.5x82%
Donchian 채널 돌파
entryN=18, exitN=57
3.0%-82.1%0.250.042.7x11380%
Keltner 채널 돌파
emaPeriod=22, atrPeriod=8, mult=4
0.8%-9.4%0.220.081.3x21%
MACD
fast=18, slow=34, signal=19
1.1%-58.3%0.170.021.5x40152%
Supertrend
period=28, mult=5
0.9%-74.6%0.160.011.4x11556%
볼린저 밴드 돌파
n=50, k=3
1.2%-51.4%0.150.021.5x6518%
Parabolic SAR
step=0.005, maxStep=0.12
-4.4%-92.1%-0.04-0.050.2x30357%
Buy and hold14.8%-77.2%0.550.19110.2x1100%
1x 10x 100x 1993 1998 2003 2008 2013 2018 2023 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 1993 1998 2003 2008 2013 2018 2023 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -84.2% (1998-07-17 → 2000-07-25), recovered after 5,635 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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