Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mondelez International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mondelez International, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.8%, drawdown -52.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.5%, MDD -60.0%, Sharpe 0.22, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% n=5, threshold=-0.08 |
2.5% | -60.0% | 0.22 | 0.04 | 1.8x | 45 | 99% |
| 볼린저 밴드 돌파 n=66, k=3.5 |
0.2% | -15.8% | 0.06 | 0.01 | 1.0x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=21, mult=3.9 |
0.1% | -13.7% | 0.04 | 0.00 | 1.0x | 16 | 5% |
| Parabolic SAR step=0.005, maxStep=0.04 |
-1.7% | -64.0% | -0.03 | -0.03 | 0.6x | 195 | 55% |
| ADX / DI 방향성 period=30, threshold=29 |
-0.1% | -12.7% | -0.06 | -0.01 | 1.0x | 6 | 1% |
| Supertrend period=36, mult=3.9 |
-2.5% | -63.1% | -0.07 | -0.04 | 0.5x | 111 | 59% |
| SMA 크로스오버 fast=51, slow=146 |
-2.9% | -66.3% | -0.08 | -0.04 | 0.5x | 55 | 57% |
| Donchian 채널 돌파 entryN=29, exitN=49 |
-2.9% | -66.8% | -0.08 | -0.04 | 0.5x | 89 | 65% |
| EMA 크로스오버 fast=59, slow=86 |
-4.7% | -78.0% | -0.19 | -0.06 | 0.3x | 67 | 61% |
| MACD fast=24, slow=38, signal=17 |
-4.9% | -77.6% | -0.24 | -0.06 | 0.3x | 289 | 50% |
| Buy and hold | 2.8% | -52.1% | 0.24 | 0.05 | 2.0x | 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 5-day return is greater than -8%
- Sell — Sell when the 5-day return drops to -8% or below