Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ball Corporation backtest
10 trend-following strategies were compared on the full daily history of Ball Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -56.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -49.7%, Sharpe 0.45, 65% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=181 |
7.8% | -49.7% | 0.45 | 0.16 | 55.8x | 67 | 65% |
| SMA 크로스오버 fast=42, slow=219 |
6.8% | -53.4% | 0.41 | 0.13 | 33.9x | 69 | 64% |
| ROC 모멘텀 n=189, threshold=-0.03 |
6.2% | -67.9% | 0.38 | 0.09 | 25.4x | 303 | 70% |
| Donchian 채널 돌파 entryN=113, exitN=78 |
4.4% | -66.4% | 0.32 | 0.07 | 10.0x | 76 | 52% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
2.1% | -36.5% | 0.24 | 0.06 | 3.0x | 70 | 15% |
| ADX / DI 방향성 period=45, threshold=14 |
1.8% | -55.7% | 0.20 | 0.03 | 2.7x | 232 | 27% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.8% | -70.3% | 0.19 | 0.03 | 2.6x | 433 | 55% |
| Supertrend period=7, mult=3.6 |
1.8% | -66.0% | 0.19 | 0.03 | 2.6x | 329 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=4 |
1.5% | -63.5% | 0.17 | 0.02 | 2.2x | 143 | 26% |
| MACD fast=29, slow=62, signal=18 |
1.0% | -63.0% | 0.15 | 0.02 | 1.7x | 491 | 52% |
| Buy and hold | 10.7% | -56.3% | 0.49 | 0.19 | 231.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 181-day EMA
- Sell — Sell when the 54-day EMA falls below the 181-day EMA