Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Anheuser-Busch InBev SA/NV backtest
10 trend-following strategies were compared on the full daily history of Anheuser-Busch InBev SA/NV. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.0%, MDD -41.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.5%, drawdown -75.4%).
Sharpe leader (same as main): Supertrend — CAGR 6.0%, MDD -41.7%, Sharpe 0.39, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 6.0%, MDD -41.7%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=4.3 |
6.0% | -41.7% | 0.39 | 0.14 | 4.4x | 86 | 61% |
| Donchian 채널 돌파 entryN=38, exitN=40 |
5.3% | -51.9% | 0.36 | 0.10 | 3.7x | 72 | 59% |
| EMA 크로스오버 fast=65, slow=115 |
4.8% | -72.8% | 0.35 | 0.07 | 3.4x | 35 | 59% |
| ADX / DI 방향성 period=48, threshold=19 |
2.1% | -22.0% | 0.34 | 0.10 | 1.7x | 16 | 9% |
| SMA 크로스오버 fast=51, slow=136 |
4.7% | -70.0% | 0.34 | 0.07 | 3.2x | 57 | 60% |
| ROC 모멘텀 n=123, threshold=0 |
3.6% | -55.0% | 0.29 | 0.07 | 2.5x | 173 | 58% |
| 볼린저 밴드 돌파 n=55, k=1.2 |
-0.3% | -59.0% | 0.06 | -0.01 | 0.9x | 178 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=3.3 |
-0.2% | -52.1% | 0.04 | -0.00 | 1.0x | 76 | 28% |
| MACD fast=16, slow=55, signal=22 |
-3.1% | -79.0% | -0.07 | -0.04 | 0.4x | 298 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.7% | -73.3% | -0.09 | -0.05 | 0.4x | 228 | 56% |
| Buy and hold | 4.5% | -75.4% | 0.29 | 0.06 | 3.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)