Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trane Technologies plc backtest
10 trend-following strategies were compared on the full daily history of Trane Technologies plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -78.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.7%, MDD -70.8%, Sharpe 0.52, 99% 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.12 |
11.7% | -70.8% | 0.52 | 0.17 | 173.2x | 105 | 99% |
| SMA 크로스오버 fast=55, slow=98 |
8.3% | -47.5% | 0.47 | 0.18 | 41.4x | 125 | 63% |
| Donchian 채널 돌파 entryN=12, exitN=78 |
8.9% | -58.4% | 0.45 | 0.15 | 51.5x | 135 | 86% |
| EMA 크로스오버 fast=56, slow=96 |
7.6% | -47.5% | 0.44 | 0.16 | 30.6x | 77 | 68% |
| 볼린저 밴드 돌파 n=27, k=3.4 |
1.4% | -8.9% | 0.34 | 0.15 | 1.9x | 22 | 3% |
| Supertrend period=21, mult=3 |
3.0% | -66.0% | 0.25 | 0.05 | 4.0x | 368 | 58% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=26, mult=3.7 |
1.0% | -22.3% | 0.24 | 0.05 | 1.6x | 36 | 4% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.7% | -67.9% | 0.23 | 0.04 | 3.5x | 410 | 57% |
| MACD fast=8, slow=37, signal=18 |
1.9% | -64.7% | 0.19 | 0.03 | 2.4x | 714 | 49% |
| ADX / DI 방향성 period=49, threshold=6 |
0.7% | -81.3% | 0.14 | 0.01 | 1.4x | 504 | 59% |
| Buy and hold | 12.1% | -78.9% | 0.52 | 0.15 | 198.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than -12%
- Sell — Sell when the 7-day return drops to -12% or below