Trend-Following Backtester · Guide · backtest 한국어
equity · JP
House Foods Group Inc. backtest
10 trend-following strategies were compared on the full daily history of House Foods Group Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.2%, MDD -34.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.9%, drawdown -44.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.3%, MDD -37.5%, Sharpe 0.36, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 6.5%p (CAGR 4.2%, MDD -34.3%, exposure 52%).
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=77, slow=209 |
4.3% | -37.5% | 0.36 | 0.11 | 3.0x | 21 | 53% |
| SMA 크로스오버 fast=59, slow=212 |
4.2% | -34.3% | 0.35 | 0.12 | 2.9x | 31 | 52% |
| ROC 모멘텀 Hold-like · Exposure 100% n=11, threshold=-0.13 |
4.0% | -44.0% | 0.29 | 0.09 | 2.8x | 9 | 100% |
| Donchian 채널 돌파 entryN=116, exitN=112 |
2.7% | -45.9% | 0.26 | 0.06 | 2.0x | 23 | 55% |
| 볼린저 밴드 돌파 n=24, k=3.2 |
1.0% | -19.9% | 0.22 | 0.05 | 1.3x | 26 | 6% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=19, mult=4 |
0.4% | -24.7% | 0.12 | 0.02 | 1.1x | 20 | 4% |
| ADX / DI 방향성 period=35, threshold=17 |
0.2% | -30.1% | 0.07 | 0.01 | 1.1x | 65 | 13% |
| MACD fast=28, slow=50, signal=32 |
-3.6% | -69.4% | -0.17 | -0.05 | 0.4x | 190 | 51% |
| Supertrend period=30, mult=3.9 |
-5.1% | -78.8% | -0.27 | -0.06 | 0.3x | 149 | 48% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.7% | -81.0% | -0.31 | -0.07 | 0.2x | 215 | 52% |
| Buy and hold | 3.9% | -44.0% | 0.29 | 0.09 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 77-day EMA crosses above the 209-day EMA
- Sell — Sell when the 77-day EMA falls below the 209-day EMA