Trend-Following Backtester · Guide · backtest 한국어
equity · US
B&G Foods, Inc. backtest
10 trend-following strategies were compared on the full daily history of B&G Foods, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -9.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.7%, drawdown -93.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.1%, MDD -39.0%, Sharpe 0.47, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 54.2%p (CAGR 0.1%, MDD -9.8%, exposure 0%).
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=59, slow=252 |
8.1% | -39.0% | 0.47 | 0.21 | 4.4x | 8 | 43% |
| SMA 크로스오버 fast=55, slow=273 |
6.6% | -53.9% | 0.40 | 0.12 | 3.4x | 14 | 45% |
| ROC 모멘텀 n=127, threshold=0.02 |
2.9% | -71.8% | 0.24 | 0.04 | 1.7x | 124 | 43% |
| Donchian 채널 돌파 entryN=113, exitN=62 |
2.1% | -60.8% | 0.20 | 0.03 | 1.5x | 24 | 39% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=4 |
1.3% | -38.0% | 0.16 | 0.03 | 1.3x | 32 | 16% |
| ADX / DI 방향성 period=30, threshold=37 |
0.1% | -9.8% | 0.08 | 0.01 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
-0.2% | -56.0% | 0.07 | -0.00 | 1.0x | 38 | 19% |
| Supertrend period=28, mult=5 |
-5.4% | -88.9% | -0.06 | -0.06 | 0.3x | 60 | 48% |
| MACD fast=15, slow=31, signal=24 |
-9.1% | -90.7% | -0.15 | -0.10 | 0.2x | 215 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-14.4% | -96.2% | -0.37 | -0.15 | 0.1x | 395 | 49% |
| Buy and hold | -6.7% | -93.2% | 0.07 | -0.07 | 0.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 252-day EMA
- Sell — Sell when the 59-day EMA falls below the 252-day EMA