Trend-Following Backtester · Guide · backtest 한국어
equity · US
Verizon Communications Inc. backtest
10 trend-following strategies were compared on the full daily history of Verizon Communications Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.2%, drawdown -62.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.1%, MDD -59.4%, Sharpe 0.29, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
4.1% | -59.4% | 0.29 | 0.07 | 5.5x | 7 | 100% |
| Donchian 채널 돌파 entryN=8, exitN=104 |
1.3% | -68.4% | 0.17 | 0.02 | 1.8x | 115 | 89% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.3% | -10.4% | 0.14 | 0.03 | 1.1x | 10 | 1% |
| ADX / DI 방향성 period=40, threshold=27 |
0.3% | -15.1% | 0.12 | 0.02 | 1.2x | 12 | 3% |
| SMA 크로스오버 fast=28, slow=82 |
-0.4% | -70.8% | 0.05 | -0.01 | 0.8x | 146 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=34, mult=3.3 |
-0.3% | -55.9% | 0.02 | -0.01 | 0.9x | 122 | 26% |
| EMA 크로스오버 fast=43, slow=124 |
-1.8% | -79.9% | -0.03 | -0.02 | 0.5x | 94 | 57% |
| Supertrend period=29, mult=5 |
-2.4% | -89.3% | -0.07 | -0.03 | 0.4x | 139 | 54% |
| MACD fast=31, slow=46, signal=14 |
-4.7% | -90.1% | -0.24 | -0.05 | 0.1x | 455 | 49% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-5.4% | -93.3% | -0.25 | -0.06 | 0.1x | 587 | 51% |
| Buy and hold | 4.2% | -62.4% | 0.29 | 0.07 | 5.9x | 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 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below