Trend-Following Backtester · Guide · backtest 한국어
equity · US
Casella Waste Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Casella Waste Systems, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 6.1%, MDD -62.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.0%, drawdown -98.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -69.0%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 6.1%, MDD -62.2%, exposure 56%).
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=55, slow=264 |
7.5% | -69.0% | 0.39 | 0.11 | 8.0x | 32 | 57% |
| Donchian 채널 돌파 entryN=10, exitN=43 |
6.0% | -77.4% | 0.35 | 0.08 | 5.4x | 117 | 81% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.1% | -62.2% | 0.34 | 0.10 | 5.4x | 238 | 56% |
| EMA 크로스오버 fast=48, slow=234 |
5.2% | -76.3% | 0.32 | 0.07 | 4.3x | 40 | 58% |
| Supertrend period=8, mult=4.9 |
4.4% | -76.6% | 0.30 | 0.06 | 3.4x | 83 | 61% |
| ROC 모멘텀 n=139, threshold=0.07 |
2.2% | -78.6% | 0.21 | 0.03 | 1.9x | 256 | 50% |
| ADX / DI 방향성 period=39, threshold=13 |
1.6% | -52.5% | 0.18 | 0.03 | 1.6x | 168 | 29% |
| 볼린저 밴드 돌파 n=36, k=2.5 |
0.7% | -67.9% | 0.14 | 0.01 | 1.2x | 110 | 23% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=28, mult=2.5 |
0.4% | -45.2% | 0.11 | 0.01 | 1.1x | 100 | 15% |
| MACD fast=17, slow=48, signal=18 |
-5.7% | -92.6% | 0.04 | -0.06 | 0.2x | 328 | 51% |
| Buy and hold | 5.0% | -98.5% | 0.36 | 0.05 | 4.0x | 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 55-day average price crosses above the 264-day average
- Sell — Sell (to cash) when the 55-day average falls below the 264-day average