Trend-Following Backtester · Guide · backtest 한국어
equity · US
Village Super Market, Inc. backtest
10 trend-following strategies were compared on the full daily history of Village Super Market, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -66.3%, Sharpe 0.38, 54% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=69, slow=206 |
7.1% | -66.3% | 0.38 | 0.11 | 38.8x | 73 | 54% |
| ADX / DI 방향성 period=39, threshold=33 |
4.9% | -56.1% | 0.37 | 0.09 | 13.1x | 10 | 28% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.15 |
5.5% | -95.5% | 0.33 | 0.06 | 17.1x | 101 | 99% |
| EMA 크로스오버 fast=52, slow=198 |
5.5% | -74.9% | 0.33 | 0.07 | 17.3x | 71 | 52% |
| Donchian 채널 돌파 entryN=43, exitN=159 |
5.3% | -85.1% | 0.32 | 0.06 | 15.6x | 77 | 68% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
2.1% | -81.6% | 0.22 | 0.03 | 3.1x | 84 | 14% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.5% | -99.0% | 0.06 | -0.03 | 0.3x | 354 | 54% |
| Supertrend period=29, mult=5 |
-6.4% | -99.9% | -0.08 | -0.06 | 0.0x | 222 | 46% |
| MACD fast=35, slow=59, signal=29 |
-12.0% | -100.0% | -0.26 | -0.12 | 0.0x | 419 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=4 |
-8.2% | -99.8% | -0.34 | -0.08 | 0.0x | 164 | 18% |
| Buy and hold | 9.3% | -75.5% | 0.42 | 0.12 | 116.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 69-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 69-day average falls below the 206-day average