Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Kraft Heinz Company backtest
10 trend-following strategies were compared on the full daily history of The Kraft Heinz Company. 9 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 1.1%, MDD -4.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.0%, drawdown -79.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -4.3%, Sharpe 0.36, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.4%, MDD -16.7%, exposure 18%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 74.9%p (CAGR 1.1%, MDD -4.3%, exposure 3%).
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=27, threshold=29 |
1.1% | -4.3% | 0.36 | 0.25 | 1.1x | 4 | 3% |
| Donchian 채널 돌파 entryN=86, exitN=23 |
2.4% | -16.7% | 0.28 | 0.14 | 1.3x | 15 | 18% |
| SMA 크로스오버 fast=28, slow=191 |
-1.0% | -33.7% | -0.00 | -0.03 | 0.9x | 17 | 37% |
| EMA 크로스오버 fast=54, slow=178 |
-1.3% | -43.8% | -0.03 | -0.03 | 0.9x | 13 | 35% |
| Supertrend period=37, mult=5 |
-2.3% | -51.4% | -0.05 | -0.04 | 0.8x | 33 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=3.3 |
-1.2% | -22.8% | -0.08 | -0.05 | 0.9x | 19 | 16% |
| 볼린저 밴드 돌파 n=34, k=1.7 |
-2.7% | -36.3% | -0.15 | -0.07 | 0.7x | 61 | 30% |
| ROC 모멘텀 n=59, threshold=0.11 |
-2.1% | -28.1% | -0.20 | -0.07 | 0.8x | 55 | 13% |
| MACD fast=15, slow=36, signal=26 |
-7.6% | -62.9% | -0.32 | -0.12 | 0.4x | 105 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-9.1% | -69.7% | -0.42 | -0.13 | 0.3x | 91 | 50% |
| Buy and hold | -9.0% | -79.2% | -0.21 | -0.11 | 0.4x | 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, 27-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)