Trend-Following Backtester · Guide · backtest 한국어
equity · US
Beyond Meat, Inc. backtest
10 trend-following strategies were compared on the full daily history of Beyond Meat, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR -17.1%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.8%, MDD -97.1%, Sharpe 0.50, 25% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 42.3%, MDD -90.2%, exposure 15%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, slow=104 |
14.8% | -97.1% | 0.50 | 0.15 | 2.7x | 25 | 25% |
| ROC 모멘텀 n=1, threshold=0.04 |
42.3% | -90.2% | 0.38 | 0.47 | 12.9x | 431 | 15% |
| EMA 크로스오버 fast=50, slow=191 |
-2.2% | -98.2% | 0.36 | -0.02 | 0.8x | 5 | 14% |
| ADX / DI 방향성 period=50, threshold=19 |
-13.2% | -97.0% | 0.35 | -0.14 | 0.4x | 8 | 6% |
| Supertrend period=18, mult=2 |
-33.3% | -97.9% | 0.18 | -0.34 | 0.1x | 76 | 28% |
| 볼린저 밴드 돌파 n=21, k=2.1 |
-38.6% | -99.5% | -0.04 | -0.39 | 0.0x | 50 | 21% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=1.2 |
-43.6% | -99.6% | -0.17 | -0.44 | 0.0x | 64 | 18% |
| Donchian 채널 돌파 entryN=17, exitN=12 |
-47.3% | -99.8% | -0.20 | -0.47 | 0.0x | 42 | 30% |
| MACD fast=6, slow=28, signal=15 |
-53.1% | -99.8% | -0.30 | -0.53 | 0.0x | 122 | 48% |
| Parabolic SAR step=0.045, maxStep=0.18 |
-56.0% | -99.9% | -0.39 | -0.56 | 0.0x | 214 | 41% |
| Buy and hold | -17.1% | -99.8% | 0.51 | -0.17 | 0.3x | 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 57-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 57-day average falls below the 104-day average