Trend-Following Backtester · Guide · backtest 한국어
equity · US
Keurig Dr Pepper Inc. backtest
10 trend-following strategies were compared on the full daily history of Keurig Dr Pepper Inc.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.6%, MDD -18.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.1%, drawdown -84.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.7%, MDD -82.5%, Sharpe 0.31, 92% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 1.7%p (CAGR 1.6%, MDD -18.8%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=68, threshold=-0.12 |
1.7% | -82.5% | 0.31 | 0.02 | 1.4x | 35 | 92% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=15, mult=3.6 |
1.6% | -18.8% | 0.25 | 0.09 | 1.3x | 16 | 6% |
| EMA 크로스오버 fast=51, slow=202 |
-2.0% | -84.9% | 0.17 | -0.02 | 0.7x | 23 | 63% |
| SMA 크로스오버 fast=36, slow=198 |
-2.5% | -84.8% | 0.15 | -0.03 | 0.6x | 31 | 63% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
0.4% | -24.1% | 0.10 | 0.02 | 1.1x | 26 | 9% |
| Donchian 채널 돌파 entryN=17, exitN=75 |
-4.8% | -89.0% | 0.08 | -0.05 | 0.4x | 55 | 84% |
| ADX / DI 방향성 period=28, threshold=36 |
0.1% | -10.2% | 0.07 | 0.01 | 1.0x | 4 | 2% |
| Supertrend period=17, mult=3.1 |
-5.6% | -85.1% | 0.03 | -0.07 | 0.4x | 116 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-7.7% | -85.8% | -0.07 | -0.09 | 0.2x | 146 | 48% |
| MACD fast=15, slow=55, signal=22 |
-8.9% | -90.1% | -0.12 | -0.10 | 0.2x | 184 | 52% |
| Buy and hold | 1.1% | -84.2% | 0.29 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 68-day return is greater than -12%
- Sell — Sell when the 68-day return drops to -12% or below