Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mission Produce, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mission Produce, Inc.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -9.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.1%, drawdown -62.7%).
Sharpe leader (same as main): Supertrend — CAGR 5.0%, MDD -44.7%, Sharpe 0.31, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 1.6%, MDD -9.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=2.2 |
5.0% | -44.7% | 0.31 | 0.11 | 1.3x | 48 | 49% |
| ADX / DI 방향성 period=21, threshold=32 |
1.6% | -9.1% | 0.29 | 0.17 | 1.1x | 2 | 2% |
| SMA 크로스오버 fast=32, slow=56 |
4.2% | -40.1% | 0.29 | 0.11 | 1.3x | 27 | 52% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
2.9% | -22.6% | 0.29 | 0.13 | 1.2x | 8 | 14% |
| MACD fast=9, slow=47, signal=10 |
2.9% | -39.1% | 0.24 | 0.08 | 1.2x | 84 | 48% |
| Donchian 채널 돌파 entryN=16, exitN=54 |
1.6% | -47.4% | 0.21 | 0.03 | 1.1x | 19 | 68% |
| EMA 크로스오버 fast=11, slow=24 |
1.5% | -39.9% | 0.19 | 0.04 | 1.1x | 47 | 52% |
| ROC 모멘텀 n=55, threshold=0.03 |
-0.7% | -43.1% | 0.09 | -0.02 | 1.0x | 68 | 40% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=0.7 |
-1.6% | -41.5% | 0.06 | -0.04 | 0.9x | 64 | 42% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-2.3% | -51.2% | 0.04 | -0.05 | 0.9x | 70 | 45% |
| Buy and hold | 0.1% | -62.7% | 0.18 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)