Trend-Following Backtester · Guide · backtest 한국어
equity · JP
FOOD & LIFE COMPANIES LTD. backtest
10 trend-following strategies were compared on the full daily history of FOOD & LIFE COMPANIES LTD.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 32.5%, MDD -28.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 31.7%, drawdown -62.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 32.8%, MDD -46.7%, Sharpe 1.13, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 33.8%, MDD -35.7%, exposure 69%.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 32.5%, MDD -28.3%, exposure 66%).
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=52, slow=85 |
32.8% | -46.7% | 1.13 | 0.70 | 14.5x | 17 | 62% |
| Donchian 채널 돌파 entryN=26, exitN=41 |
33.8% | -35.7% | 1.12 | 0.95 | 15.5x | 21 | 69% |
| Supertrend period=15, mult=5 |
32.5% | -28.3% | 1.11 | 1.15 | 14.2x | 21 | 66% |
| ROC 모멘텀 n=63, threshold=-0.01 |
30.2% | -31.4% | 1.06 | 0.96 | 12.0x | 75 | 65% |
| EMA 크로스오버 fast=6, slow=171 |
29.1% | -36.9% | 1.00 | 0.79 | 11.1x | 27 | 67% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
17.2% | -24.3% | 0.90 | 0.71 | 4.4x | 20 | 31% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=2.6 |
20.0% | -41.7% | 0.89 | 0.48 | 5.6x | 37 | 44% |
| ADX / DI 방향성 period=33, threshold=17 |
16.6% | -27.6% | 0.83 | 0.60 | 4.3x | 37 | 34% |
| MACD fast=54, slow=62, signal=25 |
17.0% | -63.8% | 0.72 | 0.27 | 4.4x | 55 | 57% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-2.6% | -64.1% | 0.04 | -0.04 | 0.8x | 251 | 54% |
| Buy and hold | 31.7% | -62.3% | 0.91 | 0.51 | 13.4x | 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 52-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 52-day average falls below the 85-day average