Trend-Following Backtester · Guide · backtest 한국어
equity · US
Watts Water Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Watts Water Technologies, Inc.. 1 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
1 of 10 beat buy and hold (CAGR 9.8%, drawdown -69.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -65.0%, Sharpe 0.45, 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=3, threshold=-0.13 |
9.9% | -65.0% | 0.45 | 0.15 | 43.6x | 33 | 100% |
| SMA 크로스오버 fast=28, slow=126 |
5.4% | -53.5% | 0.34 | 0.10 | 8.1x | 89 | 63% |
| Donchian 채널 돌파 entryN=54, exitN=65 |
5.1% | -65.3% | 0.32 | 0.08 | 7.2x | 75 | 63% |
| ADX / DI 방향성 period=38, threshold=27 |
1.8% | -20.0% | 0.30 | 0.09 | 2.0x | 18 | 5% |
| EMA 크로스오버 fast=41, slow=113 |
3.7% | -47.3% | 0.27 | 0.08 | 4.3x | 75 | 64% |
| Supertrend period=28, mult=4.9 |
2.4% | -70.7% | 0.22 | 0.03 | 2.6x | 129 | 60% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-3.5% | -96.0% | -0.03 | -0.04 | 0.2x | 898 | 53% |
| 볼린저 밴드 돌파 n=59, k=2 |
-2.7% | -85.9% | -0.06 | -0.03 | 0.3x | 175 | 35% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=3.4 |
-2.8% | -86.3% | -0.11 | -0.03 | 0.3x | 139 | 30% |
| MACD fast=8, slow=16, signal=18 |
-6.4% | -97.2% | -0.16 | -0.07 | 0.1x | 850 | 49% |
| Buy and hold | 9.8% | -69.3% | 0.44 | 0.14 | 42.0x | 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 3-day return is greater than -13%
- Sell — Sell when the 3-day return drops to -13% or below