Trend-Following Backtester · Guide · backtest 한국어
equity · US
Central Garden & Pet Company backtest
10 trend-following strategies were compared on the full daily history of Central Garden & Pet Company. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -65.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.7%, drawdown -95.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.6%, MDD -74.7%, Sharpe 0.41, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 7.4%, MDD -65.8%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=50, slow=165 |
8.6% | -74.7% | 0.41 | 0.11 | 16.4x | 49 | 56% |
| Donchian 채널 돌파 entryN=53, exitN=72 |
7.4% | -65.8% | 0.38 | 0.11 | 11.4x | 59 | 62% |
| SMA 크로스오버 fast=54, slow=275 |
6.3% | -84.0% | 0.37 | 0.08 | 8.1x | 43 | 55% |
| ROC 모멘텀 n=182, threshold=0.18 |
6.2% | -66.2% | 0.35 | 0.09 | 7.7x | 215 | 37% |
| Supertrend period=28, mult=4.4 |
4.8% | -78.4% | 0.31 | 0.06 | 4.9x | 111 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=1.7 |
0.9% | -76.7% | 0.18 | 0.01 | 1.4x | 189 | 42% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
1.3% | -70.0% | 0.18 | 0.02 | 1.6x | 99 | 28% |
| ADX / DI 방향성 period=37, threshold=22 |
1.4% | -36.3% | 0.17 | 0.04 | 1.6x | 51 | 11% |
| MACD fast=15, slow=59, signal=18 |
-3.6% | -88.6% | 0.07 | -0.04 | 0.3x | 390 | 51% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-4.9% | -90.0% | 0.02 | -0.05 | 0.2x | 771 | 50% |
| Buy and hold | 5.7% | -95.6% | 0.37 | 0.06 | 6.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 165-day EMA
- Sell — Sell when the 50-day EMA falls below the 165-day EMA