Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Mrs. Bector's Food Specialities Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mrs. Bector's Food Specialities Ltd.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 28.6%, MDD -24.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.3%, drawdown -60.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 28.6%, MDD -24.2%, Sharpe 1.15, 35% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 30.0%, MDD -29.6%, exposure 43%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 18.3%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 28.6%, MDD -24.2%, exposure 35%).
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 n=72, threshold=0.14 |
28.6% | -24.2% | 1.15 | 1.18 | 4.1x | 20 | 35% |
| Donchian 채널 돌파 entryN=48, exitN=28 |
29.6% | -24.2% | 1.15 | 1.22 | 4.3x | 7 | 44% |
| SMA 크로스오버 fast=38, slow=80 |
29.6% | -25.5% | 1.11 | 1.16 | 4.3x | 12 | 47% |
| EMA 크로스오버 fast=30, slow=139 |
30.0% | -29.6% | 1.11 | 1.01 | 4.3x | 2 | 43% |
| ADX / DI 방향성 period=25, threshold=22 |
19.4% | -24.6% | 0.88 | 0.79 | 2.7x | 18 | 34% |
| 볼린저 밴드 돌파 n=66, k=1.4 |
18.9% | -32.3% | 0.84 | 0.59 | 2.6x | 15 | 37% |
| Supertrend period=24, mult=4.4 |
21.1% | -46.5% | 0.82 | 0.46 | 2.9x | 13 | 54% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=4 |
8.8% | -20.8% | 0.62 | 0.42 | 1.6x | 4 | 13% |
| MACD fast=19, slow=55, signal=19 |
4.3% | -55.3% | 0.29 | 0.08 | 1.3x | 57 | 47% |
| Parabolic SAR step=0.03, maxStep=0.28 |
2.7% | -48.9% | 0.24 | 0.06 | 1.2x | 141 | 49% |
| Buy and hold | 10.3% | -60.5% | 0.45 | 0.17 | 1.7x | 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 72-day return is greater than 14%
- Sell — Sell when the 72-day return drops to 14% or below