Trend-Following Backtester · Guide · backtest 한국어
equity · US
John B. Sanfilippo & Son, Inc. backtest
10 trend-following strategies were compared on the full daily history of John B. Sanfilippo & Son, Inc.. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -29.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.3%, drawdown -92.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.8%, MDD -29.2%, Sharpe 0.48, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.6%, MDD -73.5%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 63.0%p (CAGR 4.8%, MDD -29.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=16, threshold=42 |
4.8% | -29.2% | 0.48 | 0.17 | 5.2x | 44 | 6% |
| SMA 크로스오버 fast=70, slow=135 |
9.6% | -73.5% | 0.44 | 0.13 | 23.9x | 61 | 50% |
| Donchian 채널 돌파 entryN=117, exitN=104 |
7.1% | -71.6% | 0.38 | 0.10 | 10.8x | 33 | 47% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=11, mult=3.2 |
5.8% | -70.2% | 0.36 | 0.08 | 7.1x | 74 | 29% |
| EMA 크로스오버 fast=56, slow=160 |
6.5% | -77.1% | 0.36 | 0.08 | 9.0x | 47 | 51% |
| Supertrend period=19, mult=5 |
5.8% | -78.3% | 0.34 | 0.07 | 7.2x | 82 | 52% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
2.8% | -31.5% | 0.28 | 0.09 | 2.6x | 38 | 10% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.2% | -76.1% | 0.20 | 0.02 | 1.5x | 404 | 51% |
| ROC 모멘텀 n=96, threshold=0 |
-1.9% | -95.2% | 0.10 | -0.02 | 0.5x | 414 | 50% |
| MACD fast=16, slow=31, signal=14 |
-10.5% | -98.6% | -0.14 | -0.11 | 0.0x | 510 | 51% |
| Buy and hold | 5.3% | -92.3% | 0.35 | 0.06 | 6.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 16-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)