Trend-Following Backtester · Guide · backtest 한국어
equity · US
Albertsons Companies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Albertsons Companies, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -11.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.7%, drawdown -70.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.6%, MDD -27.1%, Sharpe 0.59, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.3%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 0.8%, MDD -11.6%, exposure 2%).
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=73, slow=137 |
11.6% | -27.1% | 0.59 | 0.43 | 2.0x | 8 | 39% |
| Donchian 채널 돌파 entryN=74, exitN=47 |
9.9% | -26.8% | 0.55 | 0.37 | 1.8x | 6 | 34% |
| EMA 크로스오버 fast=82, slow=113 |
9.6% | -30.5% | 0.50 | 0.32 | 1.7x | 6 | 41% |
| ROC 모멘텀 n=174, threshold=0.23 |
8.1% | -27.1% | 0.50 | 0.30 | 1.6x | 10 | 18% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=14, mult=3.4 |
2.4% | -18.7% | 0.28 | 0.13 | 1.2x | 4 | 3% |
| 볼린저 밴드 돌파 n=30, k=3.4 |
2.5% | -19.0% | 0.28 | 0.13 | 1.2x | 4 | 4% |
| ADX / DI 방향성 period=27, threshold=33 |
0.8% | -11.6% | 0.15 | 0.07 | 1.0x | 2 | 2% |
| Supertrend period=29, mult=4.8 |
-4.2% | -58.1% | -0.08 | -0.07 | 0.8x | 20 | 44% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-11.8% | -69.9% | -0.32 | -0.17 | 0.5x | 82 | 44% |
| MACD fast=11, slow=37, signal=14 |
-15.2% | -81.3% | -0.48 | -0.19 | 0.4x | 100 | 49% |
| Buy and hold | -4.7% | -70.0% | 0.03 | -0.07 | 0.7x | 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 73-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 73-day average falls below the 137-day average