Trend-Following Backtester · Guide · backtest 한국어
equity · US
ConAgra Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of ConAgra Brands, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -69.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.2%, MDD -71.5%, Sharpe 0.40, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=33, threshold=-0.15 |
7.2% | -71.5% | 0.40 | 0.10 | 25.3x | 117 | 96% |
| Donchian 채널 돌파 entryN=12, exitN=174 |
6.8% | -71.4% | 0.39 | 0.10 | 21.7x | 69 | 90% |
| SMA 크로스오버 fast=57, slow=276 |
5.6% | -54.7% | 0.37 | 0.10 | 12.8x | 44 | 63% |
| ADX / DI 방향성 period=36, threshold=36 |
0.8% | -11.3% | 0.33 | 0.07 | 1.5x | 4 | 1% |
| EMA 크로스오버 fast=75, slow=149 |
3.6% | -67.5% | 0.28 | 0.05 | 5.2x | 60 | 64% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.2% | -50.6% | 0.16 | 0.02 | 1.8x | 387 | 54% |
| MACD fast=20, slow=27, signal=27 |
1.0% | -60.2% | 0.15 | 0.02 | 1.6x | 483 | 52% |
| 볼린저 밴드 돌파 n=50, k=3.4 |
0.5% | -39.0% | 0.12 | 0.01 | 1.3x | 36 | 7% |
| Supertrend period=16, mult=3.1 |
0.2% | -61.4% | 0.10 | 0.00 | 1.1x | 331 | 56% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=29, mult=3.9 |
0.3% | -34.7% | 0.09 | 0.01 | 1.1x | 24 | 2% |
| Buy and hold | 7.8% | -69.7% | 0.42 | 0.11 | 32.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 33-day return is greater than -15%
- Sell — Sell when the 33-day return drops to -15% or below