Trend-Following Backtester · Guide · backtest 한국어
equity · US
Seneca Foods Corp. backtest
10 trend-following strategies were compared on the full daily history of Seneca Foods Corp.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -51.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -63.2%, Sharpe 0.33, 85% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=31, exitN=172 |
5.5% | -63.2% | 0.33 | 0.09 | 4.5x | 37 | 85% |
| SMA 크로스오버 fast=46, slow=208 |
3.5% | -78.0% | 0.27 | 0.05 | 2.7x | 41 | 59% |
| EMA 크로스오버 fast=52, slow=127 |
2.1% | -81.7% | 0.22 | 0.03 | 1.8x | 51 | 60% |
| ROC 모멘텀 n=69, threshold=-0.1 |
-1.9% | -91.2% | 0.12 | -0.02 | 0.6x | 277 | 83% |
| ADX / DI 방향성 period=34, threshold=22 |
0.2% | -38.2% | 0.08 | 0.01 | 1.1x | 32 | 8% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.8% | -95.1% | -0.10 | -0.07 | 0.1x | 229 | 49% |
| Supertrend period=21, mult=5 |
-7.1% | -95.4% | -0.14 | -0.07 | 0.1x | 127 | 50% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
-2.7% | -66.7% | -0.15 | -0.04 | 0.5x | 54 | 8% |
| MACD fast=20, slow=59, signal=22 |
-10.1% | -97.9% | -0.22 | -0.10 | 0.0x | 299 | 51% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=8, mult=3.9 |
-3.6% | -66.4% | -0.35 | -0.05 | 0.4x | 54 | 5% |
| Buy and hold | 9.3% | -51.3% | 0.42 | 0.18 | 12.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 31 days
- Sell — Sell when price breaks below the lowest low of the last 172 days