Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cal-Maine Foods, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cal-Maine Foods, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.7%, MDD -56.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.2%, drawdown -74.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -56.2%, Sharpe 0.59, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 14.7%, MDD -56.2%, exposure 54%).
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=285 |
14.7% | -56.2% | 0.59 | 0.26 | 58.5x | 28 | 54% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
9.3% | -49.0% | 0.55 | 0.19 | 13.9x | 25 | 12% |
| EMA 크로스오버 fast=55, slow=156 |
11.0% | -62.6% | 0.49 | 0.18 | 21.8x | 41 | 53% |
| ADX / DI 방향성 period=30, threshold=33 |
5.6% | -31.2% | 0.45 | 0.18 | 5.0x | 14 | 5% |
| Donchian 채널 돌파 entryN=82, exitN=75 |
8.1% | -68.3% | 0.41 | 0.12 | 10.0x | 43 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=22, mult=3.9 |
5.4% | -64.6% | 0.35 | 0.08 | 4.7x | 60 | 20% |
| ROC 모멘텀 n=124, threshold=0.11 |
5.8% | -75.7% | 0.34 | 0.08 | 5.3x | 242 | 37% |
| Supertrend period=28, mult=4.5 |
4.0% | -69.5% | 0.28 | 0.06 | 3.2x | 111 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.1% | -78.9% | 0.19 | 0.01 | 1.4x | 233 | 51% |
| MACD fast=18, slow=47, signal=17 |
-1.3% | -86.7% | 0.11 | -0.02 | 0.7x | 345 | 52% |
| Buy and hold | 14.2% | -74.3% | 0.52 | 0.19 | 51.3x | 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 50-day average price crosses above the 285-day average
- Sell — Sell (to cash) when the 50-day average falls below the 285-day average