Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Maple Leaf Foods Inc. backtest
10 trend-following strategies were compared on the full daily history of Maple Leaf Foods Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -69.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.1%, MDD -66.7%, Sharpe 0.25, 55% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=88 |
3.1% | -66.7% | 0.25 | 0.05 | 2.5x | 53 | 55% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=3.4 |
1.3% | -22.5% | 0.25 | 0.06 | 1.5x | 28 | 4% |
| SMA 크로스오버 fast=51, slow=147 |
2.6% | -44.3% | 0.23 | 0.06 | 2.2x | 55 | 54% |
| Donchian 채널 돌파 entryN=41, exitN=74 |
1.7% | -72.5% | 0.19 | 0.02 | 1.7x | 63 | 67% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
1.5% | -49.9% | 0.18 | 0.03 | 1.6x | 78 | 22% |
| MACD fast=13, slow=43, signal=13 |
0.6% | -55.6% | 0.13 | 0.01 | 1.2x | 402 | 51% |
| Supertrend period=15, mult=4.7 |
-0.2% | -70.6% | 0.09 | -0.00 | 1.0x | 108 | 51% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-0.4% | -65.8% | 0.08 | -0.01 | 0.9x | 366 | 53% |
| ADX / DI 방향성 period=27, threshold=27 |
-0.1% | -39.6% | 0.02 | -0.00 | 1.0x | 50 | 8% |
| ROC 모멘텀 n=96, threshold=-0.02 |
-2.5% | -79.0% | -0.01 | -0.03 | 0.5x | 345 | 60% |
| Buy and hold | 5.3% | -69.1% | 0.32 | 0.08 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 88-day EMA
- Sell — Sell when the 59-day EMA falls below the 88-day EMA