Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Stella-Jones Inc. backtest
10 trend-following strategies were compared on the full daily history of Stella-Jones Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.2%, MDD -46.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.5%, drawdown -73.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.2%, MDD -46.8%, Sharpe 0.73, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 18.2%, MDD -46.8%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=205 |
18.2% | -46.8% | 0.73 | 0.39 | 169.4x | 24 | 65% |
| EMA 크로스오버 fast=51, slow=133 |
17.4% | -54.9% | 0.70 | 0.32 | 137.6x | 28 | 66% |
| Donchian 채널 돌파 entryN=60, exitN=74 |
17.9% | -51.8% | 0.69 | 0.34 | 154.7x | 38 | 67% |
| 볼린저 밴드 돌파 n=132, k=1.5 |
14.6% | -53.8% | 0.66 | 0.27 | 65.1x | 50 | 52% |
| ROC 모멘텀 n=148, threshold=0 |
13.4% | -68.2% | 0.58 | 0.20 | 47.8x | 154 | 65% |
| ADX / DI 방향성 period=44, threshold=13 |
6.8% | -67.6% | 0.40 | 0.10 | 7.5x | 156 | 41% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.1% | -69.4% | 0.25 | 0.04 | 2.5x | 222 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.7 |
2.3% | -87.3% | 0.22 | 0.03 | 2.0x | 122 | 36% |
| MACD fast=23, slow=52, signal=35 |
0.2% | -83.8% | 0.14 | 0.00 | 1.1x | 245 | 51% |
| Supertrend period=11, mult=5 |
-2.4% | -98.3% | 0.05 | -0.02 | 0.5x | 179 | 62% |
| Buy and hold | 17.5% | -73.4% | 0.61 | 0.24 | 140.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 48-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 48-day average falls below the 205-day average