Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Andersons, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Andersons, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.1%, MDD -56.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.0%, drawdown -83.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -56.7%, Sharpe 0.54, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 12.1%, MDD -56.7%, exposure 63%).
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=50, slow=315 |
12.1% | -56.7% | 0.54 | 0.21 | 32.4x | 25 | 63% |
| Supertrend period=16, mult=4.1 |
9.5% | -56.9% | 0.47 | 0.17 | 15.8x | 112 | 55% |
| EMA 크로스오버 fast=39, slow=187 |
9.8% | -60.6% | 0.47 | 0.16 | 17.2x | 47 | 61% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=14, mult=3.9 |
6.2% | -34.2% | 0.47 | 0.18 | 6.2x | 42 | 14% |
| Donchian 채널 돌파 entryN=28, exitN=25 |
8.8% | -67.0% | 0.45 | 0.13 | 13.0x | 125 | 52% |
| 볼린저 밴드 돌파 n=52, k=2.8 |
5.6% | -52.7% | 0.40 | 0.11 | 5.3x | 62 | 21% |
| ROC 모멘텀 n=127, threshold=-0.06 |
6.5% | -78.9% | 0.36 | 0.08 | 6.8x | 237 | 69% |
| ADX / DI 방향성 period=30, threshold=26 |
2.3% | -40.4% | 0.23 | 0.06 | 2.0x | 42 | 13% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.8% | -83.8% | 0.20 | 0.02 | 1.7x | 397 | 53% |
| MACD fast=19, slow=58, signal=13 |
-3.8% | -88.1% | 0.00 | -0.04 | 0.3x | 397 | 52% |
| Buy and hold | 9.0% | -83.7% | 0.41 | 0.11 | 13.6x | 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 50-day average price crosses above the 315-day average
- Sell — Sell (to cash) when the 50-day average falls below the 315-day average