Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coca-Cola Europacific Partners plc backtest
10 trend-following strategies were compared on the full daily history of Coca-Cola Europacific Partners plc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.9%, drawdown -81.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -79.0%, Sharpe 0.42, 87% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=10, exitN=79 |
7.9% | -79.0% | 0.42 | 0.10 | 20.5x | 107 | 87% |
| SMA 크로스오버 fast=59, slow=175 |
5.6% | -57.1% | 0.35 | 0.10 | 8.6x | 59 | 61% |
| EMA 크로스오버 fast=77, slow=97 |
4.1% | -81.1% | 0.29 | 0.05 | 4.9x | 69 | 61% |
| Keltner 채널 돌파 emaPeriod=95, atrPeriod=20, mult=2.2 |
3.1% | -66.9% | 0.26 | 0.05 | 3.3x | 149 | 46% |
| Supertrend period=21, mult=4.1 |
3.1% | -51.4% | 0.25 | 0.06 | 3.4x | 171 | 53% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
0.5% | -7.6% | 0.21 | 0.06 | 1.2x | 10 | 1% |
| ROC 모멘텀 n=148, threshold=-0.02 |
2.0% | -74.1% | 0.20 | 0.03 | 2.2x | 291 | 64% |
| MACD fast=17, slow=31, signal=18 |
0.6% | -64.3% | 0.14 | 0.01 | 1.3x | 493 | 53% |
| ADX / DI 방향성 period=34, threshold=36 |
0.3% | -12.4% | 0.14 | 0.03 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.44 |
0.3% | -78.5% | 0.12 | 0.00 | 1.1x | 333 | 56% |
| Buy and hold | 7.9% | -81.2% | 0.40 | 0.10 | 20.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 10 days
- Sell — Sell when price breaks below the lowest low of the last 79 days