Trend-Following Backtester · Guide · backtest 한국어
equity · US
SNDL Inc. backtest
10 trend-following strategies were compared on the full daily history of SNDL Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.7%, MDD -71.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -45.4%, drawdown -99.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.1%, MDD -79.4%, Sharpe 0.47, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 59.6%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 10.7%, MDD -71.2%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=3.5 |
14.1% | -79.4% | 0.47 | 0.18 | 2.5x | 12 | 13% |
| Parabolic SAR step=0.04, maxStep=0.28 |
4.1% | -82.1% | 0.43 | 0.05 | 1.3x | 204 | 42% |
| ADX / DI 방향성 period=24, threshold=29 |
10.7% | -71.2% | 0.41 | 0.15 | 2.0x | 6 | 10% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=3.9 |
7.6% | -77.9% | 0.36 | 0.10 | 1.7x | 10 | 11% |
| ROC 모멘텀 n=102, threshold=0.13 |
2.9% | -74.7% | 0.30 | 0.04 | 1.2x | 28 | 20% |
| SMA 크로스오버 fast=24, slow=130 |
2.6% | -85.7% | 0.29 | 0.03 | 1.2x | 12 | 20% |
| Supertrend period=19, mult=1.3 |
-6.2% | -75.6% | 0.26 | -0.08 | 0.6x | 124 | 30% |
| EMA 크로스오버 fast=56, slow=71 |
-3.8% | -88.6% | 0.17 | -0.04 | 0.8x | 12 | 21% |
| MACD fast=16, slow=42, signal=10 |
-23.4% | -92.5% | 0.14 | -0.25 | 0.2x | 98 | 52% |
| Donchian 채널 돌파 entryN=68, exitN=17 |
-9.1% | -90.2% | 0.08 | -0.10 | 0.5x | 18 | 15% |
| Buy and hold | -45.4% | -99.1% | -0.03 | -0.46 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 43-day middle average